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Volatility forecasting across tanker freight rates: the role of oil price shocks

Author

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  • Konstantinos Gavriilidis

    (Management School, University of Stirling)

  • Dimos S. Kambouroudis

    (Management School, University of Stirling)

  • Katerina Tsakou

    (School of Management, Swansea University)

  • Dimitris S. Tsouknidis

    (Departments of Commerce, Finance, and Shipping)

Abstract

This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian's (2009) oil price shocks of different origin enter GARCH-X models which, among other stylized facts of the freight rates examined, take into account the presence of asymmetric and long-memory effects in tanker freight rates. The results reveal that the inclusion of aggregate oil demand shocks and precautionary oil-specific demand shocks (price) significantly improves the accuracy of the volatility forecasts drawn.

Suggested Citation

  • Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018. "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers 2018-27, Swansea University, School of Management.
    • Handle: RePEc:swn:wpaper:2018-27
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    More about this item

    Keywords

    volatility forecasting; tanker freight rates; oil price shocks; GARCH-X models.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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