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

Note: MC error is Monte Carlo errors.