The Asymmetric Impacts on the Volatility of the shipping financial derivatives

Yuhua Zhu

Abstract


Shipping freight forward agreements (FFA) is world's major shipping financial derivative. It is often used to hedge against the huge freight fluctuations by ship owners. The paper takes four shipping freight forward agreements with China factors as the research object, using the GARCH model to fit these four shipping price fluctuations and establish price volatility models; In order to reflect market fluctuations factors on the impact of price changes, uses TARCH models to analyze their asymmetric impacts. At last the paper provides decision-making references for Chinese ship owners participating in the FFA market transactions.


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Revista de la Facultad de Ingeniería,

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