ABSTRACT
This chapter presents the relevant statistical tools used for measuring risks and for volatility modeling in shipping markets. It discusses issues that arise when data sets are used for analysis, such as the potential sources of data and their required properties in order to be useful for analysis, including being reliable, unbiased, consistent, etc. The chapter presents and compares the measures of central tendency and dispersion as well as the higher moments of the distribution for a given random variable. It discusses in detail recent advances in the area of volatility modeling for shipping variables, such as the Exponentially Weighted Moving Average (EWMA) models, the realised volatility models, the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) family of models, the stochastic volatility models and the implied volatility models. The chapter focuses on drawing forecasts of volatility based on the previously discussed volatility models.
