碩士 / 淡江大學 / 財務金融學系碩士班 / 101 / Baltic dry index (BDI) represents the booming target of bulk ship transport industry. It’s can be a reference for investment who want to invest in the maritime sector. Therefore, this thesis adopts the time series method to explore the nature of BDI index volatility. BDI represents explanatory variable, while West Texas intermediate (WTI) oil volatility and commodity research bureau futures (CRB) price returns represent dependent variables. We use four competitors, including the GARCH, IGARCH, GJR-GARCH, and QGARCH models, to compare their in-sample goodness of fit and out-of-sample volatility forecasting ability under oil and CRB shocks. Under the aforesaid econometric methodologies, a number of solid evidence has emerged from this thesis. First, the parameters of mean equations in the GARCH genre of models indicate that the BDI index returns are influenced by historical information, while the oil (commodity futures) price has a negative (positive) impact on the profits of shipping stocks. Second, the model estimates of the variance equations in the GARCH families reveal that volatility characteristics of the BDI index are influenced by historical property. Past oil shocks have significantly negative impact on the BDI index volatility, whereas the lag CRB index returns doesn’t significant influences BDI volatility property. Thirdly, high degree of volatility persistence and leverage effect are found in the BDI return series. Finally, out-of-sample volatility forecasting results imply that the IGARCH model provides the most accurate forecasts when the volatility proxy is measured by the squared returns. As for the forecasting results obtained from the price range (PK), the GARCH model is superior to the other competing models. The empirical findings provide crucial implications for marine transportation entrepreneur and common investors to improve decision makings and hence avoid the market risk.
| Identifer | oai:union.ndltd.org:TW/101TKU05304031 |
| Date | January 2013 |
| Creators | Jhu-Yi Chen, 陳主宜 |
| Contributors | , 邱建良, 劉洪鈞 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 51 |
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