Analysis on Long Memory of the Volatilities of International Dry Bulk Freight Index Using Fractal Theory

The paper is to investigate the features of long memory of international dry bulk shipping market using fractal theory, which are covered in time series of Baltic dry bulk freight index. For the sake, three kinds of important models in Fractal theory, proved to be greatly effective methods of studying long memory in financial market, are employed in the analysis namely R/S analysis, GPH test and FIEGARCH model. Whereafter, results from those are gained to interpret the existence of long memory and then leverage effect in the market subdivided by ship types including Handymax, Panamax, and Capesize. So investors are able to take advantage of historical indices to forecast the volatilities of the market and obtain speculation profits.