IDEAS home Printed from https://ideas.repec.org/a/pal/marecl/v16y2014i3p298-320.html
   My bibliography  Save this article

Value-at-risk analysis of the asymmetric long-memory volatility process of dry bulk freight rates

Author

Listed:
  • Chao-Chi Chang

    (Department of Applied Foreign Languages, Lang-Yang Institute of Technology, Taiwan.)

  • Heng Chih Chou

    (Department of Shipping and Transportation Management, National Taiwan Ocean University, Taiwan.)

  • Chun Chou Wu

    (National Kaohsiung First University of Technology, Taiwan.)

Abstract

This study aims to apply value-at-risk (VaR) models to evaluate the risk of dry bulk freight rates when there is an asymmetric long-memory volatility process. The VaR estimations as well as expected shortfalls for both short and long trading positions are conducted. We use the Fractionally Integrated GARCH, Hyperbolic GARCH and Fractionally Integrated APARCH models to analyse the performance of the VaR models with the normal, Student-t and skewed Student-t distributions. Empirical results suggest that precise VaR estimates may be obtained from an asymmetric long-memory volatility structure with the skewed Student-t distribution. Moreover, the asymmetric FIAPARCH model outperforms than other models in out-of-sampling forecasting. Therefore, our findings provide a more accurate estimation of VaR for dry bulk freight rates. These results present several potential implications for dry bulk freight market risk quantification and hedging strategies.

Suggested Citation

  • Chao-Chi Chang & Heng Chih Chou & Chun Chou Wu, 2014. "Value-at-risk analysis of the asymmetric long-memory volatility process of dry bulk freight rates," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 16(3), pages 298-320, September.
    • Handle: RePEc:pal:marecl:v:16:y:2014:i:3:p:298-320
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/mel/journal/v16/n3/pdf/mel201413a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/mel/journal/v16/n3/full/mel201413a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

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

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zouheir Mighri & Raouf Jaziri, 2023. "Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 41-97, March.
    2. Martial Phélippé-Guinvarc'H & Jean Cordier, 2015. "Machine Learning for Semi-Strong Efficiency Test of Inter-Market Wheat Futures," Post-Print hal-02151848, HAL.
    3. Liu, Junlin & Chen, Feier, 2018. "Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 316-327.

    More about this item

    Statistics

    Access and download statistics

    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:pal:marecl:v:16:y:2014:i:3:p:298-320. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    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.