The Real Exchange Rate Volatility Comovements and Spillovers in Thailand’s International Trade: A Multivariate Garch Approach
The Real Exchange Rate Volatility Comovements and Spillovers in Thailand’s International Trade: A Multivariate Garch Approach

Summary/Abstract: This paper examined the real exchange rate volatility comovements and spillovers among major currencies in Thailand’s international trade against the Thai baht including the USA dollar (USD), the British pound (GBP), the Japanese yen (JPY) and the Malaysian ringgit (MYR). The data used in this study was the monthly data from 1985 to 2013. The three Multivariate GARCH models, namely the diagonal VECH, the diagonal BEKK and the CCC, were employed. The empirical results overall for monthly data showed that the ARCH and GARCH estimates of the conditional variance between the real exchange rate returns were statistically significant in case of RGBP and RJPY. The conditional correlation between volatility of the real exchange rate returns was statistically significant in case of RGBP with RJPY as well. Finally, we would choose the best model by considering the value of log-likelihood, AIC, SIC and HQ. We found that the best model in volatility analysis was the CCC model.

• Details
• Contents