In this study, the relationship between the volatility index VIX and the Baltic Dry Index, which is considered as the pioneer of global trade, was examined based on the daily data of 06.12.2010 - 30.11.2017. The analysis using the Engle - Granger Cointegration Test, Error Correction Model and Kalman Filter approach showed that there was a long - term cointegration relationship between the two variables. It was also determined that VIX influenced the change in BDI in a positive and statistically significant manner in the short and long term. Since the Kalman Filter Analysis also predicts the effect of VIX on the BDI at all times, it has dynamically shown the relation between the variables
In this study, the relationship between the volatility index VIX and the Baltic Dry Index, which is considered as the pioneer of global trade, was examined based on the daily data of 06.12.2010 - 30.11.2017. The analysis using the Engle - Granger Cointegration Test, Error Correction Model and Kalman Filter approach showed that there was a long-term cointegration relationship between the two variables. It was also determined that VIX influenced the change in BDI in a positive and statistically significant manner in the short and long term. Since the Kalman Filter Analysis also predicts the effect of VIX on the BDI at all times, it has dynamically shown the relationship between the variables
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Ulusal
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