Do we have robust GARCH models under different mean equations: Evidence from exchange rates of thailand?

• المؤلفون الرئيسيون: Tanaporn Tungtrakul, Natthaphat Kingnetr, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Agricultural and Biological Sciences
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85012882233&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/46691

© Springer International Publishing AG 2017. This study investigates the exchange rate volatility of Thai baht using GARCH, TGARCH, EGARCH and PGARCH models and examines the robustness of these models under different mean equation specifications. The data consisted of monthly exchange rate of Thai b...