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Empirical research and application of ARIMA-GJRGARCH model on effectively creating Forward Freight Agreement trading signals

Zhao Jingzhou

Zeszyty Naukowe Akademii Morskiej w Szczecinie

2022

nr 70 (142)

52--59

This study examines the volatility of the forward freight agreement (FFA) time series in the dry bulk shipping market. Series pattern analysis is first performed to determine the volatility and the characteristics of the unique FFA price time series. It then applies the ARIMA-GJRGARCH model to the Capesize FFA time charter (C5TC) and specific voyage charter one-month contracts (C3, C5 and C7), creating long or short signals, which helps market participants with FFA trading or hedging. In this study, these signals are collected and used to calculate the profit and loss for a specific period. Finally, the model-based return results are compared with the common buy-and-hold strategy. The empirical result suggests that this methodology is effective in generating trading signals, especially in the volatile periods, providing traders with prompt warnings about imminent market shocks. The purpose of the study is to examine whether this volatility-focused method is efficient in modelling FFA time series, and it also provides a handy method that may help market players make more accurate predictions when volatile days arrive

The impact of freight rates on ship values: An investigation of major dry bulk carriers

Açik Abdullah

Zeszyty Naukowe Akademii Morskiej w Szczecinie

2021

nr 66 (138)

9--20

Many factors affect ship values, but the most important is freight rates. This effect is more dynamic, especially in the dry bulk market, which has characteristics close to a perfectly competitive market. The literature does not provide a complete answer about whether the effects of freight on ship values differ by ship type and age in the market; therefore, this study examined the effect of changes in the freight rates of the main ship types used in the dry bulk market on their values in different age groups. The ship types included in the study are Capesize, Panamax, and Handymax vessels, while the age groups are newbuilds, 5-year-old, and 10-year-old ships. Individual regression models were established and analyses were applied for each category. According to the obtained results, smaller vessels were more affected by changes in freight rates, and the effect of changes in freight rate increased with the age of the ship. Also, the price volatility of smaller ships was lower, while it was higher for older ships. It is hoped that these results may provide comparative results by ship type and guide industry stakeholders in reducing risks.