期刊
TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW
卷 118, 期 -, 页码 376-391出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.tre.2018.08.012
关键词
Volatility forecasts; Tanker freight rates; Oil price shocks; GARCH-X models
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 tanker freight rates examined, take into account the presence of asymmetric and long-memory effects. The results reveal that the inclusion of aggregate oil demand and oil-specific (precautionary) demand shocks improves significantly the accuracy of the volatility forecasts drawn.
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