Multrifractal Features of Spot Rates in the Liquid Petroleum Gas Shipping Market
17 Pages Posted: 20 Sep 2009 Last revised: 1 Oct 2009
Date Written: September 18, 2009
Abstract
We investigate for the first time the spot rate dynamics for Very Large Gas Carriers (VLGCs) by means of multrifractal detrended fluctuation analysis (MF-DFA) and rescaled range (R/S) analysis. Both methods allow for a rigorous statistical analysis of the freight process by detecting correlation, scaling and fluctuation behavior regardless of (non-) stationarity or nonlinearity issues. By so doing, the generalized/classical and time-dependent Hurst exponents indicate that freight rates exhibit trend-reinforcement and persistence. Rates deem subject to controlled volatility and can be approximated by different types of trend functions. The origins of multifractality are mainly coming from memory effects rather than fat-tail distributions.
Keywords: MF-DFA; R/S; LPG; Freight Rates; Hurst exponent
JEL Classification: C14, C32, C63, Q40
Suggested Citation: Suggested Citation