This paper studies the volatility of Maersk’s stock return series. Data is collected for the period of more than 16 years, with more than 4000 observations obtained to secure the stability of model estimation. It is worth noticed that the largest volatility occurs during the global finance crisis. The author finds that ARCH effects exist in the series. Thus, GARCH models are employed for further estimation. While GARCH (1,1) helps remove all ARCH effects of the process, TGARCH (1,1) suggests that asymmetric effects exist in the series. In other words, bad news tends to have larger effect on Maersk’s stock return than good news does. This suggests the plausibility of employing GARCH models in estimating volatility of shipping stock return. | Nội dung Text Volatility of shipping stock return the case of Maersk
