Volatility Spillovers in Capesize Forward Freight Agreement Markets

Table 6

Volatility spillover among Capesize FFAs, Panamax FFAs, and BCI.

	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%
	0.921	0.005	0.811	0.927	0.991	19.015	−0.159	0.005	−0.221	−0.171	−0.047	−3.650
	0.889	0.009	0.688	0.916	0.992	10.461	0.287	0.011	0.114	0.281	0.559	2.807
	0.106	0.004	−0.009	0.113	0.159	2.698	0.888	0.009	0.645	0.911	0.990	10.062
	0.724	0.015	0.459	0.751	0.923	5.368	0.754	0.011	0.479	0.758	0.956	7.378
	−0.0180	0.005	−0.241	−0.192	−0.092	−0.439	0.730	0.021	0.176	0.779	0.971	3.796
	0.0366	0.009	0.147	0.380	0.508	0.433	0.165	0.007	0.031	0.186	0.239	2.752