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

• Main Author: Chang Beom Kim
• Format: Article
• Language: English
• Published: Elsevier 2018-09-01
• Series: Asian Journal of Shipping and Logistics
• Online Access: http://www.sciencedirect.com/science/article/pii/S2092521218300531

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 positive news. In addition, the empirical results considering the structural change show that the magnitude of the leverage effect reduced after the global financial crisis. More importantly, the GIRF results indicate that the negative impact of HRCI volatility on Korean export container volume is less after the crisis than before the crisis period. Keywords: Howe Robinson Container Index, Leverage Effect, Volatility, ARIMA-EGARCH Model, Generalized Impulse Response Function