Table IV. The estimates of the...

Table IV.

The estimates of the regression models for different dry bulk sectors

Capesize	Q1	Q2	Q3	Q4
A₀	2.457^** (2.304)	1.932^* (1.910)	0.887 (0.894)	0.977 (1.010)
A₁	−0.335^*** (−4.392)	−0.266^*** (−3.582)	−0.168^** (−2.107)	−0.195^** (−2.310)
A₂	0.387^*** (7.187)	0.420^*** (8.144)	0.456^*** (8.839)	0.468^*** (9.266)
A₄	0.495^*** (7.806)	0.422^*** (7.013)	0.366^*** (6.024)	0.362^*** (6.089)
A₅	13.844^*** (2.606)	12.739^** (2.450)	13.086^** (2.244)	12.712^** (2.217)
A₇	−0.979^*** (−2.928)	−0.723^** (−2.191)	−0.734^** (−2.167)	−0.560^* (−1.668)
A₈	17.630^*** (2.869)	–	–	2.724^** (2.260)
Diagnostics
Adjusted R²	0.326	0.320	0.319	0.298
LogL	−133.199	−137.005	−137.873	−132.71
F Statistics	26.076	29.240	28.713	22.891
AIC	0.898	0.902	0.919	0.901
SC	0.983	0.973	0.991	0.986
DW Statistics	1.520	1.478	1.492	1.550
Panamax
A₀	5.617^*** (4.755)	5.159^*** (4.157)	5.530^*** (4.309)	6.244^* (5.199)
A₂	0.154^* (1.787)	0.135 (1.561)	0.142^* (1.618)	0.081 (0.975)
A₃	0.089^** (2.012)	0.291^*** (2.857)	0.263^*** (2.633)	0.268^*** (2.733)
A₄	−0.175^** (−1.995)	−0.154^* (−1.790)	−0.188^** (−2.181)	−0.162^* (−1.933)
A₅	46.654^*** (3.081)	61.096^*** (4.082)	53.618^*** (3.548)	58.729^*** (4.059)
A₇	−1.864^** (−2.492)	−2.119^*** (−2.817)	−2.044^** (−2.504)	−2.199^*** (−3.050)
A₈	20.464^*** (2.658)	–	13.483^*** (3.177)	–
Diagnostics
Adjusted R²	0.080	0.076	0.108	0.074
LogL	−105.640	−104.826	−100.777	−91.926
F Statistics	6.397	6.228	7.262	4.845
AIC	0.713	0.699	0.691	0.630
SC	0.785	0.770	0.775	0.702
DW Statistics	1.351	1.353	1.373	1.417
Supramax
A₀	3.021^*** (2.923)	2.803^*** (2.728)	2.696^** (2.581)	2.805^*** (2.739)
A₂	0.181^** (2.490)	0.183^** (2.508)	0.191^*** (2.593)	0.183^** (2.513)
A₄	0.253^*** (3.970)	0.284^** (4.660)	0.277^*** (4.360)	0.284^*** (4.672)
A₇	1.642^*** (2.687)	1.743^*** (2.865)	1.806^*** (2.937)	1.742^*** (2.860)
A₈	16.209^* (1.757)	–	15.684^* (1.905)	–
Diagnostics
Adjusted R²	0.109	0.102	0.117	0.111
LogL	−215.643	−217.569	−208.757	−217.721
F Statistics	11.163	13.677	11.623	13.789
AIC	1.325	1.327	1.332	1.324
SC	1.382	1.372	1.391	1.369
DW Statistics	1.658	1.657	1.680	1.658

Capesize	Q1	Q2	Q3	Q4
A₀	2.457^** (2.304)	1.932^* (1.910)	0.887 (0.894)	0.977 (1.010)
A₁	−0.335^*** (−4.392)	−0.266^*** (−3.582)	−0.168^** (−2.107)	−0.195^** (−2.310)
A₂	0.387^*** (7.187)	0.420^*** (8.144)	0.456^*** (8.839)	0.468^*** (9.266)
A₄	0.495^*** (7.806)	0.422^*** (7.013)	0.366^*** (6.024)	0.362^*** (6.089)
A₅	13.844^*** (2.606)	12.739^** (2.450)	13.086^** (2.244)	12.712^** (2.217)
A₇	−0.979^*** (−2.928)	−0.723^** (−2.191)	−0.734^** (−2.167)	−0.560^* (−1.668)
A₈	17.630^*** (2.869)	–	–	2.724^** (2.260)
Diagnostics
Adjusted R²	0.326	0.320	0.319	0.298
LogL	−133.199	−137.005	−137.873	−132.71
F Statistics	26.076	29.240	28.713	22.891
AIC	0.898	0.902	0.919	0.901
SC	0.983	0.973	0.991	0.986
DW Statistics	1.520	1.478	1.492	1.550
Panamax
A₀	5.617^*** (4.755)	5.159^*** (4.157)	5.530^*** (4.309)	6.244^* (5.199)
A₂	0.154^* (1.787)	0.135 (1.561)	0.142^* (1.618)	0.081 (0.975)
A₃	0.089^** (2.012)	0.291^*** (2.857)	0.263^*** (2.633)	0.268^*** (2.733)
A₄	−0.175^** (−1.995)	−0.154^* (−1.790)	−0.188^** (−2.181)	−0.162^* (−1.933)
A₅	46.654^*** (3.081)	61.096^*** (4.082)	53.618^*** (3.548)	58.729^*** (4.059)
A₇	−1.864^** (−2.492)	−2.119^*** (−2.817)	−2.044^** (−2.504)	−2.199^*** (−3.050)
A₈	20.464^*** (2.658)	–	13.483^*** (3.177)	–
Diagnostics
Adjusted R²	0.080	0.076	0.108	0.074
LogL	−105.640	−104.826	−100.777	−91.926
F Statistics	6.397	6.228	7.262	4.845
AIC	0.713	0.699	0.691	0.630
SC	0.785	0.770	0.775	0.702
DW Statistics	1.351	1.353	1.373	1.417
Supramax
A₀	3.021^*** (2.923)	2.803^*** (2.728)	2.696^** (2.581)	2.805^*** (2.739)
A₂	0.181^** (2.490)	0.183^** (2.508)	0.191^*** (2.593)	0.183^** (2.513)
A₄	0.253^*** (3.970)	0.284^** (4.660)	0.277^*** (4.360)	0.284^*** (4.672)
A₇	1.642^*** (2.687)	1.743^*** (2.865)	1.806^*** (2.937)	1.742^*** (2.860)
A₈	16.209^* (1.757)	–	15.684^* (1.905)	–
Diagnostics
Adjusted R²	0.109	0.102	0.117	0.111
LogL	−215.643	−217.569	−208.757	−217.721
F Statistics	11.163	13.677	11.623	13.789
AIC	1.325	1.327	1.332	1.324
SC	1.382	1.372	1.391	1.369
DW Statistics	1.658	1.657	1.680	1.658

Notes:

***

and

mean statistically significant at 1%, 5% and 10%, respectively. The t-statistics is reported in the parenthesis. The variables with insignificant estimates are deleted from the regression equations. LogL is the log-likelihood. AIC is the Akaike information criterion. SC is the Schwarz information criterion. ARCH(12) is Engle’s F-test for ARCH effects. Figures in the brackets under the ARCH(12) estimates indicate the significance levels.

ln(VOL_t) = A₀ + A₁ln(FFA_t) + A₂ln(FIX_t₋₁) + A₃ln(ERN_t) + A₄ln(SR_t) + A₅COVFSt + A₆COVFEt + A₇VARFt + A₈FV_t

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