Modeling and Prediction of the Volatility of the Freight Rate in the Roadway Freight Market of China

Table 2

SST-GARCH (1, 1) estimated parameters of the volatility series.

	R_CTG	R_CTK	R_CTQ	R_GTC	R_GTK	R_GTQ	R_KTC	R_KTG	R_KTQ	R_QTC	R_QTG	R_QTK
	0.154	0.760	0.000	0.021	0.837	0.254	0.167	0.003	0.117	0.841	3.228	0.395
Prob.	(0.000)	(0.010)	(0.000)	(0.000)	(0.016)	(0.000)	(0.000)	(0.043)	(0.000)	(0.074)	(0.000)	(0.000)
	0.005	0.101	0.003	0.007	0.004	0.068	0.012	0.011	0.014	0.004	0.005	0.010
Prob.	(0.000)	(0.000)	(0.001)	(0.039)	(0.021)	(0.000)	(0.000)	(0.032)	(0.012)	(0.047)	(0.000)	(0.000)
	0.946	0.889	0.995	0.950	0.991	0.922	0.963	0.982	0.978	0.816	0.915	0.946
Prob.	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
	0.951	0.990	0.998	0.957	0.995	0.990	0.975	0.993	0.992	0.820	0.920	0.956
(Skew)	29.000	2.191	5.657	2.940	2.446	4.421	6.278	4.836	30.000	5.225	30.000	9.079
Prob.	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.004)	(0.000)	(0.000)	(0.000)	(0.000)
(Shape)	2.901	3.375	10.016	6.020	3.228	2.497	2.479	3.095	2.718	2.504	2.062	2.188
Prob.	(0.000)	(0.004)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
ARCH-LM (3)	0.079	0.016	0.255	0.6584	0.065	0.112	0.024	0.477	0.382	0.299	0.073	0.046
ARCH-LM (5)	0.348	0.213	5.795	1.1083	0.204	0.306	0.100	0.763	0.522	0.729	0.162	0.124
ARCH-LM (7)	0.530	0.778	7.940	2.0307	0.339	2.863	0.229	1.550	0.935	1.079	0.378	0.185

Significance at (5%); significance at (10%).