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Ocean Freight and Asymmetric News Impact

Author

Listed:
  • Soo-Won Mo

    (Mokpo National University)

  • Chang-Beom Kim

    (Chosun University)

Abstract

This paper applies the news impact curve for the specification of the conditional volatility. The standard GARCH model, which imposes symmetry on the conditional variances, is shown to produce biased estimates when freight movements are negative. The estimated news impact curve for the GARCH suggests that the conditional variance is underestimated for negative shocks and overestimated for positive shocks. This paper also shows that the AGARCH model is the best at capturing this asymmetric effect.

Suggested Citation

  • Soo-Won Mo & Chang-Beom Kim, 2001. "Ocean Freight and Asymmetric News Impact," Korean Economic Review, Korean Economic Association, vol. 17, pages 329-346.
    • Handle: RePEc:kea:keappr:ker-200112-17-2-08
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    Keywords

    GARCH; MRI; News Impact;
    All these keywords.

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