Abstract
Baltic tanker index studies have become vital for the crude oil and petroleum product trade. Volatility has constantly pressured vessel owners and charterers to reduce costs and decide on new ship-building orders. This study attempts to find volatility in the Baltic Dirty Tanker Index and Baltic Clean Tanker Index prices, which are sub-indices of the Baltic Tanker Index. The asymmetric corrected dynamic conditional correlation GARCH model is deployed to find the spillovers and volatility in both time series. The results indicate the strong presence of spillovers at regular intervals. This study helps vessel owners and charterers make appropriate decisions in tanker markets.
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