Price Risk Modelling of Different Size Vessels in the Tanker Industry Using Autoregressive Conditional Heteroskedasticity (ARCH) Models

The Logistics and Transportation Review, June 1996, Vol. 32, No 2, 161-176

Posted: 18 Feb 2014

See all articles by Manolis G. Kavussanos

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: 1996

Abstract

This paper examines volatility as a measure of risk in the world tanker market for second hand ships. In particular, it models and compares time varying risks between different size vessels. The recently developed class of Autoregressive Conditional Heteroskedasticity (ARCH) models are utilised for this purpose. It is found that monthly price returns of small vessels are broadly less volatile than larger ones, and the nature of these volatilities vary across sizes. A downward trend in risks is observed in the VLCC and Suezmax carriers, suggesting that risks in the tanker industry have decreased since the first part of the 1980's.

Suggested Citation

Kavussanos, Manolis G., Price Risk Modelling of Different Size Vessels in the Tanker Industry Using Autoregressive Conditional Heteroskedasticity (ARCH) Models (1996). The Logistics and Transportation Review, June 1996, Vol. 32, No 2, 161-176. Available at SSRN: https://ssrn.com/abstract=1435235

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
299
PlumX Metrics