Leverage Effect of HRCI Volatility and the Volatility Impact on Korean Export Container Volume before and after the Global Financial Crisis: Application of ARIMA-EGARCH and GIRF
In this study, the leverage effect of HRCI volatility and the volatility impact on Korean export container volume were analyzed using the ARIMA-EGARCH model. Empirical results reveal a leverage effect due to the asymmetry of negative news having more influence on the increase in volatility than positive news. In addition, the empirical results considering the structural change show that the magnitude of the leverage effect reduced after the global financial crisis. More importantly, the GIRF results indicate that the negative impact of HRCI volatility on Korean export container volume is less after the crisis than before the crisis period.
- Record URL:
- Record URL:
-
Availability:
- Find a library where document is available. Order URL: http://worldcat.org/issn/20925212
-
Supplemental Notes:
- Abstract reprinted with permission of Elsevier.
-
Authors:
- Kim, Chang Beom
- Publication Date: 2018-9
Language
- English
Media Info
- Media Type: Web
- Features: Figures; References; Tables;
- Pagination: pp 227-233
-
Serial:
- The Asian Journal of Shipping and Logistics
- Volume: 34
- Issue Number: 3
- Publisher: Elsevier
- ISSN: 2092-5212
- Serial URL: https://www.sciencedirect.com/journal/the-asian-journal-of-shipping-and-logistics
-
Publication flags:
Open Access (libre)
Subject/Index Terms
- TRT Terms: Containers; Containerships; Economic conditions; Exports; Logistics; Shipping
- Identifier Terms: ARIMA-EGARCH Model; Generalized Impulse Response Function; Howe Robinson Container Index
- Geographic Terms: Korea
- Subject Areas: Economics; Freight Transportation; Marine Transportation;
Filing Info
- Accession Number: 01684075
- Record Type: Publication
- Files: TRIS
- Created Date: Oct 24 2018 11:18AM