Analysis Of Volatility Of FFA Market Based On The Improved Empirical Mode Decomposition And BEKK-GARCH

The international shipping industry is a changeable industry, especially the international dry bulk shipping market which is influenced by the social, economy, policy, nature and many other factors, fluctuates huge, and the changing price brings a huge business risk to the dry bulk market participants. So many shipping derivatives generate, and effectively help the investors avoid risk. The market price fluctuation of the most representative derivative FFA is also huge, because of its dual attribute,. Meanwhile, the influence of investor’s behavior on FFA price is huge also. It is important for studying internal fluctuation mechanism. Therefore, this paper thoroughly studies the volatility of FFA price and volatility spillover effect between different FFA markets, which could provide theoretical value for shipping operators and FFA investors.This paper is based on the theory of econometrics, and selects the FFA price as the research objects. The original time series of FFA is reconstructed to three components by the improved EMD model, which are high frequency sequence (normal market price fluctuations), low frequency sequence (major incident affection) and long-term trend sequence. And then using BEKK-MVGARCH model and combining with the characteristics of FFA market, study the volatility spillover effects of different FFA markets.The research results show that, the volatility of the high frequency and low frequency sequence of the FFA price of Capesize is huger and the volatility of the long-term trend sequence of the one of Panamax is huger; the volatility of the high frequency and low frequency sequence of the FFA price of C3is huger, and the volatility of the long-term trend sequence of the one of C4is huger; In addition to the volatility spillover effect of the FFA market of Capesize on the Panamax is not obvious, there exists the volatility spillover effects between the three FFA markets. The research result shows that the improved EMD can effectively reveal different economic meaning of time series characteristics of the dry bulk market, and better grasp the fluctuation characteristics and the reasons of the FFA market.