Understanding volatility and leverage effects in bunker markets Online publication date: Thu, 14-Jun-2018
by Ishita Ranjan; T. Bangar Raju; R. Jayaraj; Krishnendu Dutta
International Journal of Global Energy Issues (IJGEI), Vol. 41, No. 1/2/3/4, 2018
Abstract: The research analysed the volatility and the leverage effect in the bunker prices in IFO 380 and IFO 180 grades. Limited studies were found on bunker prices using EGARCH and bivariate analysis. The research investigated the causal relationships between IFO 380 and IFO 180 grades of bunkers. Serial correlations were found through using Lagrange multiplier (LM test) and heteroskedastic tests in the bunker price data. The analysis exhibited the model to be highly significant at 1%. Both the grades showed the short and long-run shocks and a positive leverage effect. The recommendations were made to the maritime industry to strategise during the long run and short-run shocks of bunker markets.
Online publication date: Thu, 14-Jun-2018
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