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Dynamic Volatility Spillovers Across Shipping Freight Markets

This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold & Yilmaz (2009, 2012). This methodology is invariant to ordering the variables when estimating a VAR model and allows for the disaggregation of volatility spillovers in total, directional, net and net pair- wise. Results reveal the existence of large time-varying volatility spillovers across freight markets, which are more intense during and after the global financial crisis.