The risk measures based on GARCH model in tanker shipping market

The purpose of this paper is to investigate the risk measures based on general autoregress conditional heterostedasticity (GARCH) model in tanker shipping industry, to choose Baltic Dirty Tanker Index as study object. This paper applies Value-at-Risk model, widespread used in financial field, for measuring risks in shipping market. The parameters of the model are estimated by statistical software package Eviews. According to analyze the economic insignificant of parameters in the model, and get the conclusions that the freight return possesses persistence, and the VaR model is valid on 99% confidence level.