ABSTRACT
This research created an estimator for a near-real-time US truckload spot market price index. This work applied an ARX-GARCH model to assess freight volatility by incorporating explanatory variables in the mean-equation to address the sector-specific behavioural patterns. The results suggest that daily rate volatility can be better specified with such an extended version of standard GARCH. It was also observed the reduction of immediate shock effects in freight rate variation, especially when controlling for fuel surcharge and truck capacity.
Disclosure statement
No potential conflict of interest was reported by the author(s).
Notes
1 Dallas, TX; Chicago, IL; Los Angeles, CA; Atlanta, GA; Ft. Worth, TX; Ontario, CA; Joliet, IL; Columbus, OH; Allentown, PA; Houston, TX.
2 The lag selection for both tests was set on 15 based on Akaike Information Criterion (AIC).