Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach

• Main Authors: Liu J., Sriboonchitta S.
• 格式: Conference or Workshop Item
• 語言: English
• 出版: 2014
• 在線閱讀: http://www.scopus.com/inward/record.url?eid=2-s2.0-84872768724&partnerID=40&md5=56a3221860231debb6232555b339a051; http://cmuir.cmu.ac.th/handle/6653943832/1227
• 機構: Chiang Mai University

This paper aims to estimate the dependency between the growth rates of tourist arrivals of Thailand and Singapore from China, and also analyze their conditional volatilities. Firstly, we assume that both margins are skewed-t distribution, and then make use of ARMA-GARCH model to fit monthly time ser...