Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
© 2014 by the Mathematical Association of Thailand. All rights reserved. This paper aims at investigating the dependence structure between the imports and the manufacturing production index of Thailand using a copula-GARCH approach. We applied skewed student-t distribution to estimate all of the mar...
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| Main Authors: | , |
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| Format: | Journal |
| Published: |
2018
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907245355&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45465 |
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| Institution: | Chiang Mai University |
| Summary: | © 2014 by the Mathematical Association of Thailand. All rights reserved. This paper aims at investigating the dependence structure between the imports and the manufacturing production index of Thailand using a copula-GARCH approach. We applied skewed student-t distribution to estimate all of the marginal distributions with ARMA(1,12)-GARCH(1,1), ARMA(1,2)-GARCH(1,1)to fit the manufacturing production index (MPI) and the imports of Thailand. The results of this paper suggest that the student-t copula is the most appropriate method to best t the tail dependences in both static and time-varying copulas because the AIC and the BIC of this method are the lowest when compared with the candidates among the other types of copula. |
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