Multifractal features of spot rates in the liquid petroleum gas shipping market
Faculty of Applied Economics
Institute for Transport en Maritime Management (ITMMA)
S.l :SSRN, 2009
SSRN working paper
University of Antwerp
We investigate for the first time the spot rate dynamics of 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.