Study On Volatility Of China Coastal Coal Freight Rate Based On ARCH Family Model

The volatility of the coastal coal freight has always attracted the attention of bulk shipping operators. It is crucial for the bulk shipping operators and investors to study the characteristics and rule of the volatility of the coastal coal freight index. Because it make a contribution to grasp the dynamic of coastal coal market and make investment decisions. According to the characteristics and related factors of the volatility of the coastal coal freight in recent years, this paper makes the conclusion that this volatility has a certain regularity, such as seasonal and tendency fluctuate, also contains a lot of randomness, such as the sudden financial crisis. The thesis applies ARCH family model to describe the regularity and its inherent characteristics of volatility which seemingly has no rule. The study expands from the following aspects.Firstly, it sums up the three basic characteristics of the coal freight rates, based on the actual volatility of china coastal coal freight index. Then the related factors which influence the volatility of the freight rates are summarized.Secondly, the differential of the logarithm freight index (Freight Index Yield) is described for the volatility of the coastal coal freight index. The GARCH model is implemented to reveal the sensitivity and persistence of volatility of the coastal coal freight index, Qinhuangdao-Guangzhou, Qinhuangdao-Shanghai and Qinhuangdao-Ningbo routes freight index. Then it analyzes the leverage effect of the volatility based on EGARCH model. In addition, the volatility spillover effects are resolved based on the ARCH family model and granger causality test.Finally, the volatility characteristics were summarized on the basis of empirical analysis. Then it gets some strategy recommendations for the coastal bulk shipping company, and notes the direction of further research of this paper.