Leverage Effect of HRCI Volatility and the Volatility Impact on Korean Export Container Volume before and after the Global Financial Crisis: Application of ARIMA-EGARCH and GIRF
In this study, the leverage effect of HRCI volatility and the volatility impact on Korean export container volume were analyzed using the ARIMA-EGARCH model. Empirical results reveal a leverage effect due to the asymmetry of negative news having more influence on the increase in volatility than posi...
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| Format: | Article |
| Language: | English |
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Elsevier
2018-09-01
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| Series: | Asian Journal of Shipping and Logistics |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2092521218300531 |