| As is known to all, tanker freight market changes multiterminal, which brings great difficulties to oil transportation and related enterprise in management and decision-making. More and more researchers focus on the volitilities and riske management in tanker freight market. It is important to grasp the trend of world tanker freight rate correctly, and master freight rates of return oil distribution and volitilities, for making-decision. So it could help the investors and managers understander volilitities characters.Econometrics methods are used in the paper to investigate tanker shipping market, as the object of international tanker freight index. Three models are established; fractal test model, GARCH models, and VAR model, to study the fractal character, persistence and sensitiveness, and relevance about freight volitilities of four different ship types. The conclusions are:daily return series of tanker freight have obvious peak and fat tail, fractal characteristic, persistence and leverage effect, and relevance among the four series. |
