Research Article
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 |
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