International Journal Of Coastal, Offshore And Environmental Engineering(ijcoe)

International Journal Of Coastal, Offshore And Environmental Engineering(ijcoe)

Dynamic spillover effect to manage ship fuel and crude oil portfolio using MGARCH model

Document Type : Original Research Article

Author
homayoun yousefi
department of maritime transport, Khorramshahr university of marine science and technology, Khorramshahr - Iran
10.22034/ijcoe.2025.408242.1036
Abstract
Considering the existed uncertainty in fuel prices, a good risk management strategy is vital for the shipping companies as the other transport companies which are exposed to the mentioned fluctuations. In this regards, this article is aimed to calculate the optimum hedging ratio for the ship fuel in terms of minimum risk. Hence To account for the non-constant structure of return VAR-VECH model is applied. After the estimation the spillover and conditional structure of the variances can be built. These spillovers will be important in the risk calculation of any optional basket consisting two mentioned energy carriers. In the next step, Optimization process is performed by using the Lagrangian multiplier technique. The data are obtained from Bloomberg daily closing price of energy carriers for the spanning 10 years which started from January 2010 and ends to February 2019. Finally, results is to get the proportion of investment in both crude oil and ship fuel in a basket consisting these two energy carriers.
Keywords
Optimum Hedging Ratio
Ship Fuel
CCC Model
Crude Oil
Fuel Price
Subjects