Forecasting freight rates : evidence from the baltic exchange indices and the IMAREX freight futures

Abstract

Forecasting freight rates is of great importance to ship owners, charterers, commodity and energy producers. This dissertation examines the forecasting ability of the Baltic Exchange Indices and the IMAREX freight futures. Point and interval forecasts are constructed and assessed under different statistical measures. In order to give a firm answer, trading strategies based on point and interval forecasts are performed using IMAREX Freight Futures and evaluated under performance measures.