Volatility Spillovers in Capesize Forward Freight Agreement Markets

Table 5

Volatility spillover between Capesize FFA and spot rate.

	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%
	0.851	0.007	0.687	0.847	0.974	11.130	0.245	0.003	0.192	0.245	0.308	9.911
	0.013	0.004	−0.051	0.024	0.070	0.338	0.585	0.008	0.422	0.606	0.655	8.790