Research Article
Volatility Spillovers in Capesize Forward Freight Agreement Markets
Table 4
Volatility spillover among Capesize FFAs.
| | Before the global financial crisis | After the global financial crisis | | Value | MC error | 2.5% | Median | 97.5% | | Value | MC error | 2.5% | Median | 97.5% | |
| | 0.692 | 0.025 | 0.302 | 0.729 | 0.978 | 3.162 | −0.011 | 0.007 | −0.113 | 0.000 | 0.103 | −0.185 | | 0.152 | 0.010 | 0.018 | 0.175 | 0.299 | 1.755 | 0.268 | 0.016 | 0.141 | 0.193 | 0.577 | 1.960 | | −0.090 | 0.006 | −0.204 | −0.080 | 0.000 | −1.754 | −0.143 | 0.012 | −0.457 | −0.107 | −0.060 | −1.413 | | −0.037 | 0.011 | −0.256 | −0.028 | 0.112 | −0.391 | 0.573 | 0.012 | 0.444 | 0.540 | 0.814 | 5.362 | | 0.089 | 0.008 | −0.047 | 0.095 | 0.242 | 1.205 | 0.747 | 0.008 | 0.666 | 0.721 | 0.899 | 11.137 | | −0.124 | 0.009 | −0.280 | −0.107 | −0.001 | −1.564 | −0.373 | 0.009 | −0.627 | −0.341 | −0.318 | −4.617 | | 0.221 | 0.029 | −0.068 | 0.119 | 0.788 | 0.883 | 0.463 | 0.013 | 0.346 | 0.427 | 0.775 | 4.159 | | 0.657 | 0.028 | 0.327 | 0.785 | 0.962 | 2.701 | 0.128 | 0.015 | −0.210 | 0.178 | 0.256 | 0.945 | | −0.093 | 0.011 | −0.294 | −0.067 | 0.029 | −0.949 | −0.080 | 0.015 | −0.464 | −0.021 | 0.012 | −0.598 | | 0.137 | 0.062 | −0.473 | −0.129 | 0.967 | 0.253 | 0.394 | 0.047 | −0.377 | 0.646 | 0.704 | 0.946 | | 0.916 | 0.008 | 0.771 | 0.936 | 0.996 | 13.616 | 0.946 | 0.004 | 0.857 | 0.950 | 0.997 | 26.750 | | 0.525 | 0.028 | 0.187 | 0.519 | 0.847 | 2.137 | 0.677 | 0.008 | 0.596 | 0.652 | 0.895 | 9.205 |
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Note: MC error is Monte Carlo errors.
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