IDEAS home Printed from https://ideas.repec.org/a/eee/jaitra/v117y2024ics0969699724000589.html
   My bibliography  Save this article

Modeling the volatility of international air freight: A case study of Singapore using the SARIMAX-EGARCH model

Author

Listed:
  • Nguyen, Quang Hai

Abstract

The volume of international air cargo not only generates income and jobs for countries, but also promotes international trade and other economic sectors. This study used SARIMAX-(E)GARCH volatility models to model Singapore's air cargo volume in ten key markets namely Malaysia, Indonesia, Thailand, Vietnam, Mainland China, Hong Kong SAR, Japan, United Kingdom (UK), France and Germany. Using socioeconomic factors and monthly data for the period 1991–2022, empirical models reveal that GDP and bilateral trade are important explanatory factors that have a positive impact on international air cargo volume in most of Singapore's key markets. Own price (international air freight), substitute price (deep sea freight transportation services) and the COVID-19 pandemic in the early stages also have different impacts in some key markets. In addition, the effects of positive and negative air cargo demand shocks are also found in different markets. These findings are the basis for forecasting international air cargo volume and making decisions and policies for air freight development.

Suggested Citation

  • Nguyen, Quang Hai, 2024. "Modeling the volatility of international air freight: A case study of Singapore using the SARIMAX-EGARCH model," Journal of Air Transport Management, Elsevier, vol. 117(C).
    • Handle: RePEc:eee:jaitra:v:117:y:2024:i:c:s0969699724000589
    DOI: 10.1016/j.jairtraman.2024.102593
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0969699724000589
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jairtraman.2024.102593?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fabian Baier & Peter Berster & Marc Gelhausen, 2022. "Global cargo gravitation model: airports matter for forecasts," International Economics and Economic Policy, Springer, vol. 19(1), pages 219-238, February.
    2. Chia-Lin Chang & Thanchanok Khamkaew & Roengchai Tansuchat & Michael McAleer, 2011. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Tourism Economics, , vol. 17(3), pages 481-507, June.
    3. Chi, Junwook, 2016. "Exchange rate and transport cost sensitivities of bilateral freight flows between the US and China," Transportation Research Part A: Policy and Practice, Elsevier, vol. 89(C), pages 1-13.
    4. Matsumoto, Hidenobu & Domae, Koji, 2018. "The effects of new international airports and air-freight integrator's hubs on the mobility of cities in urban hierarchies: A case study in East and Southeast Asia," Journal of Air Transport Management, Elsevier, vol. 71(C), pages 160-166.
    5. Divino, Jose Angelo & McAleer, Michael, 2010. "Modelling and forecasting daily international mass tourism to Peru," Tourism Management, Elsevier, vol. 31(6), pages 846-854.
    6. Alsumairi, Mohammad & Hong Tsui, Kan Wai, 2017. "A case study: The impact of low-cost carriers on inbound tourism of Saudi Arabia," Journal of Air Transport Management, Elsevier, vol. 62(C), pages 129-145.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Wai Hong Kan Tsui & Faruk Balli, 2017. "International arrivals forecasting for Australian airports and the impact of tourism marketing expenditure," Tourism Economics, , vol. 23(2), pages 403-428, March.
    9. Kenneth Button & Junyang Yuan, 2013. "Airfreight Transport and Economic Development: An Examination of Causality," Urban Studies, Urban Studies Journal Limited, vol. 50(2), pages 329-340, February.
    10. Shujie Yao & Xiuyun Yang, 2012. "Air transport and regional economic growth in China," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 19(3), pages 318-329.
    11. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    12. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    13. Chang, Yu-Hern & Chang, Yu-Wei, 2009. "Air cargo expansion and economic growth: Finding the empirical link," Journal of Air Transport Management, Elsevier, vol. 15(5), pages 264-265.
    14. Alexander, D.W. & Merkert, R., 2021. "Applications of gravity models to evaluate and forecast US international air freight markets post-GFC," Transport Policy, Elsevier, vol. 104(C), pages 52-62.
    15. Hwang, Cherng-Chwan & Shiao, Guo-Chou, 2011. "Analyzing air cargo flows of international routes: an empirical study of Taiwan Taoyuan International Airport," Journal of Transport Geography, Elsevier, vol. 19(4), pages 738-744.
    16. Matsumoto, Hidenobu, 2007. "International air network structures and air traffic density of world cities," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 43(3), pages 269-282, May.
    17. Xu, Shuojiang & Chan, Hing Kai & Zhang, Tiantian, 2019. "Forecasting the demand of the aviation industry using hybrid time series SARIMA-SVR approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 122(C), pages 169-180.
    18. Gudmundsson, S.V. & Cattaneo, M. & Redondi, R., 2021. "Forecasting temporal world recovery in air transport markets in the presence of large economic shocks: The case of COVID-19," Journal of Air Transport Management, Elsevier, vol. 91(C).
    19. Gong, Qiang & Wang, Kun & Fan, Xingli & Fu, Xiaowen & Xiao, Yi-bin, 2018. "International trade drivers and freight network analysis - The case of the Chinese air cargo sector," Journal of Transport Geography, Elsevier, vol. 71(C), pages 253-262.
    20. Hakim, Md Mahbubul & Merkert, Rico, 2016. "The causal relationship between air transport and economic growth: Empirical evidence from South Asia," Journal of Transport Geography, Elsevier, vol. 56(C), pages 120-127.
    21. Yukun Bao & Tao Xiong & Zhongyi Hu, 2012. "Forecasting Air Passenger Traffic by Support Vector Machines with Ensemble Empirical Mode Decomposition and Slope-Based Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2012, pages 1-12, November.
    22. Mayer, Robert, 2016. "Airport classification based on cargo characteristics," Journal of Transport Geography, Elsevier, vol. 54(C), pages 53-65.
    23. Lakew, Paulos Ashebir & Tok, Yeow Chern Andre, 2015. "Determinants of air cargo traffic in California," Transportation Research Part A: Policy and Practice, Elsevier, vol. 80(C), pages 134-150.
    24. Akinyemi, Yingigba Chioma, 2023. "Air cargo demand in Africa: Application of cointegration and error correction modelling techniques," Journal of Air Transport Management, Elsevier, vol. 109(C).
    25. Kupfer, Franziska & Meersman, Hilde & Onghena, Evy & Van de Voorde, Eddy, 2017. "The underlying drivers and future development of air cargo," Journal of Air Transport Management, Elsevier, vol. 61(C), pages 6-14.
    26. Peng, Bo & Song, Haiyan & Crouch, Geoffrey I., 2014. "A meta-analysis of international tourism demand forecasting and implications for practice," Tourism Management, Elsevier, vol. 45(C), pages 181-193.
    27. Chi, Junwook & Baek, Jungho, 2013. "Dynamic relationship between air transport demand and economic growth in the United States: A new look," Transport Policy, Elsevier, vol. 29(C), pages 257-260.
    28. Lo, Winnie Wai Ling & Wan, Yulai & Zhang, Anming, 2015. "Empirical estimation of price and income elasticities of air cargo demand: The case of Hong Kong," Transportation Research Part A: Policy and Practice, Elsevier, vol. 78(C), pages 309-324.
    29. Hakim, Md Mahbubul & Merkert, Rico, 2019. "Econometric evidence on the determinants of air transport in South Asian countries," Transport Policy, Elsevier, vol. 83(C), pages 120-126.
    30. Matsumoto, Hidenobu, 2004. "International urban systems and air passenger and cargo flows: some calculations," Journal of Air Transport Management, Elsevier, vol. 10(4), pages 239-247.
    31. Fageda, Xavier & Fioravanti, Reinaldo & Ricover, Andy & Café, Eduardo & Ansaldo, Mariano, 2023. "Econometric analysis of the determinants of air cargo services supply in Latin America and the Caribbean," Transport Policy, Elsevier, vol. 135(C), pages 33-44.
    32. Balli, Hatice Ozer & Tsui, Wai Hong Kan & Balli, Faruk, 2019. "Modelling the volatility of international visitor arrivals to New Zealand," Journal of Air Transport Management, Elsevier, vol. 75(C), pages 204-214.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Akinyemi, Yingigba Chioma, 2023. "Air cargo demand in Africa: Application of cointegration and error correction modelling techniques," Journal of Air Transport Management, Elsevier, vol. 109(C).
    2. Balli, Hatice Ozer & Tsui, Wai Hong Kan & Balli, Faruk, 2019. "Modelling the volatility of international visitor arrivals to New Zealand," Journal of Air Transport Management, Elsevier, vol. 75(C), pages 204-214.
    3. Fageda, Xavier & Fioravanti, Reinaldo & Ricover, Andy & Café, Eduardo & Ansaldo, Mariano, 2023. "Econometric analysis of the determinants of air cargo services supply in Latin America and the Caribbean," Transport Policy, Elsevier, vol. 135(C), pages 33-44.
    4. Chen, Zhe & Jiang, Hai, 2020. "Impacts of high-speed rail on domestic air cargo traffic in China," Transportation Research Part A: Policy and Practice, Elsevier, vol. 142(C), pages 1-13.
    5. Alexander, D.W. & Merkert, R., 2021. "Applications of gravity models to evaluate and forecast US international air freight markets post-GFC," Transport Policy, Elsevier, vol. 104(C), pages 52-62.
    6. Gong, Qiang & Wang, Kun & Fan, Xingli & Fu, Xiaowen & Xiao, Yi-bin, 2018. "International trade drivers and freight network analysis - The case of the Chinese air cargo sector," Journal of Transport Geography, Elsevier, vol. 71(C), pages 253-262.
    7. Gizem Kaya & Umut Aydın & Burç Ülengin, 2023. "A Comparison of Forecasting Performance of PPML and OLS estimators: The Gravity Model in the Air Cargo Market," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 112-128, December.
    8. Aydın, Umut & Ülengin, Burç, 2022. "Analyzing air cargo flows of Turkish domestic routes: A comparative analysis of gravity models," Journal of Air Transport Management, Elsevier, vol. 102(C).
    9. Dobruszkes, Frédéric & Vandermotten, Christian, 2022. "Do scale and the type of markets matter? Revisiting the determinants of passenger air services worldwide," Journal of Air Transport Management, Elsevier, vol. 99(C).
    10. Rahman, Farzana & Rahman, Md. Mahmudur, 2023. "Analyzing service quality of domestic airlines in an emerging country- Bangladesh by structural equation models," Journal of Air Transport Management, Elsevier, vol. 107(C).
    11. Frédéric Dobruszkes & Christian Vandermotten, 2022. "Do scale and the type of markets matter? Revisiting the determinants of passenger air services worldwide," ULB Institutional Repository 2013/336304, ULB -- Universite Libre de Bruxelles.
    12. Wang, Yue & Wong, Collin Wai Hung & Cheung, Tommy King-Yin & Wu, Edmund Yangming, 2021. "How influential factors affect aviation networks: A Bayesian network analysis," Journal of Air Transport Management, Elsevier, vol. 91(C).
    13. Van Asch, Thomas & Dewulf, Wouter & Kupfer, Franziska & Cárdenas, Ivan & Van de Voorde, Eddy, 2020. "Cross-border e-commerce logistics – Strategic success factors for airports," Research in Transportation Economics, Elsevier, vol. 79(C).
    14. Wang, Sen & Gao, Yi, 2021. "A literature review and citation analyses of air travel demand studies published between 2010 and 2020," Journal of Air Transport Management, Elsevier, vol. 97(C).
    15. Katrin Oesingmann, 2022. "The determinants of air cargo flows and the role of multinational agreements: An empirical comparison with trade and air passenger flows," The World Economy, Wiley Blackwell, vol. 45(8), pages 2370-2393, August.
    16. Hanson, Daniel & Toru Delibasi, Tuba & Gatti, Matteo & Cohen, Shamai, 2022. "How do changes in economic activity affect air passenger traffic? The use of state-dependent income elasticities to improve aviation forecasts," Journal of Air Transport Management, Elsevier, vol. 98(C).
    17. Raihan, Asif & Voumik, Liton Chandra & Akter, Salma & Ridzuan, Abdul Rahim & Fahlevi, Mochammad & Aljuaid, Mohammed & Saniuk, Sebastian, 2024. "Taking flight: Exploring the relationship between air transport and Malaysian economic growth," Journal of Air Transport Management, Elsevier, vol. 115(C).
    18. Pradhan, Rudra P., 2019. "Investigating the causal relationship between transportation infrastructure, financial penetration and economic growth in G-20 countries," Research in Transportation Economics, Elsevier, vol. 78(C).
    19. Hakim, Md Mahbubul & Merkert, Rico, 2019. "Econometric evidence on the determinants of air transport in South Asian countries," Transport Policy, Elsevier, vol. 83(C), pages 120-126.
    20. Matsumoto, Hidenobu & Domae, Koji, 2019. "Assessment of competitive hub status of cities in Europe and Asia from an international air traffic perspective," Journal of Air Transport Management, Elsevier, vol. 78(C), pages 88-95.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jaitra:v:117:y:2024:i:c:s0969699724000589. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/journal-of-air-transport-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.