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Author:Viitasaari, Ville
Title:Modeling of Seaborne Forward Freight Rates
Laivarahtimarkkinan forward-käyrien mallintaminen
Publication type:Master's thesis
Publication year:2013
Pages:[6] + 94      Language:   eng
Department/School:Perustieteiden korkeakoulu
Main subject:Sovellettu matematiikka   (Mat-2)
Supervisor:Salo, Ahti
Instructor:Hytönen, Henri
OEVS:
Electronic archive copy is available via Aalto Thesis Database.
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Location:P1 Ark Aalto  183   | Archive
Keywords:dynamic conditional correlation
seaborne freight
principal component analysis
wavelet analysis
dynaaminen korrelaatiomalli
laivarahti
pääkomponenttianalyysi
aallokeanalyysi
Abstract (eng): In this thesis, we analyze the market for dry bulk forward freight agreements.
The main topics to be discussed are seasonality and short-term hedging from the point of view of a trader minimizing the variance of a sales-driven portfolio.

We find that the nature of the dry bulk market is seasonal and the seasonality grows stronger with ship size.
We also find that the strength of short-term price fluctuations relative to the seasonal patterns is relatively strong - especially in the case of capesize and panamax class vessels.

We compare constant volatility hedging and GARCH based hedging by doing out-of-sample back testing.
Two multivariate GARCH models, DCC-GARCH and CCC-GARCH, are tested.
We observe that the GARCH models perform better than static hedges that assume constant volatility.
The DCC-GARCH model seems to produce the best hedge ratios but does not exceed the performance of the CCC-GARCH model by a high margin.

In case the available computing capacity is limited, we suggest using the CCC-GARCH model to hedge linear freight derivatives portfolios.
Abstract (fin): Tässä työssä analysoimme laivoilla kuljetettavan kuivarahdin forward-markkinoita.
Käsiteltäviä pääaiheita ovat kausivaihtelu ja lyhyen aikavälin varianssin minimointiin tähtäävä portfolion suojaaminen.

Kuivarahtimarkkinan hintojen luonne on kausittainen ja kausivaihtelun suuruus näyttää riippuvan laivan koosta.
Capesize- ja panamax -luokkien alusten kalenterivuoden sisällä tapahtuva kausivaihtelu on erittäin vahvaa, mutta suhteessa lyhyen aikavälin hintamuutoksiin heikkoa.
Supramax- ja handysize -luokkien hintojen kalenterivuoden sisäinen kausivaihtelu taas on voimakasta suhteessa lyhyen aikavälin hintavaihteluihin.

Työssä vertaamme keskenään staattisia, vakiovolatiliteettioletukseen nojaavia, suojausmalleja ja dynaamisia GARCH-mallinnukseen perustuvia suojausmalleja.
Tarkastelemme erityisesti kahta GARCH-mallia: dynaamista korrelaatiomallia ja vakiokorrelaatiomallia.
Testeissämme GARCH-pohjaiset mallit toimivat paremmin kuin staattiset mallit, joissa volatiliteetti oletetaan vakioksi.
Dynaaminen korrelaatiomalli näyttää antavan hieman paremman ennusteen suojaussuhteelle kuin vakokorrelaatiomalli, mutta havaittava ero on pieni.

Jos saatavilla olevat ohjelmistot tai laskentakapasiteetti rajoittavat mallin valintaa, vakiokorrelaatiomalli saattaa olla testatuista vaihtoehdoista paras lineaarisen rahtijohdannaisportfolion lyhyen aikavälin suojaamiseksi.
ED:2013-06-05
INSSI record number: 46844
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