Multivariate GARCH Volatility Across Major Industry Groups of the Stock Exchange of Thailand  

作　　者：Prasert Chaitip Darapom Noopontong 

机构地区：[1]Chiang Mai University, Chiang Mai, Thailand

出　　处：《China-USA Business Review》2013年第8期762-767,共6页美中经济评论（英文版）

摘　　要：This paper examines the volatility on the time-series relations among the returns of industry group indices in the stock exchange of Thailand. Does volatility of the return series in one industry group indices necessarily lead to volatility in other industry group indices among the sample of eight industry groups？ This research will be valuable to investors utilizing a better understand diversification needed to get good returns. Daily data （2,116 days） are used in this paper covering data for the nine-year period from January 5, 2004, to August 31, 2012. Multivariate Generalized Autoregressive Conditional Heteroscedasticity was tested consisted of： （1） Diagonal VEC Model; （2） Baba Engle Kraft Kroner Models （BEKK Models）; （3） Vector Autoregressive Moving Average GARCH Model （VARMA GARCH Model）; and （4） Constant Conditional Correlation Model （CCC Model）. The findings indicated that the major result shows that, volatility in one industry group necessarily lead to volatility in other industry group indices in the opposite way and in the similar way.

关 键 词：volatility spillover standardized shocks stock index returns conditional correlations 

分 类 号：O211.6[理学—概率论与数理统计] F832.5[理学—数学]