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

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...

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Main Authors: Jianxu Liu, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/52455
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-524552018-09-04T09:27:22Z Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach Jianxu Liu Songsak Sriboonchitta Computer Science Engineering 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 series data. Secondly, fifteen types of static copulas are used to fit static dependence between tourist arrivals to Thailand and Singapore from China. We take the AIC, BIC and the two tests based on Kendall's transform as criterions for goodness of fit test. Moreover, we apply time-varying copulas that described the dynamic Kendall's tau process. Results show that each growth rate of tourist arrivals has a long-run persistence of volatility, and the time-varying Gaussian copula has the highest explanatory power of all the dependence structures between tourist arrivals to Thailand and Singapore from China in terms of AIC and BIC values. © 2013 Springer-Verlag Berlin Heidelberg. 2018-09-04T09:25:29Z 2018-09-04T09:25:29Z 2013-01-01 Book Series 21945357 2-s2.0-84872768724 10.1007/978-3-642-35443-4-20 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872768724&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/52455
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Engineering
spellingShingle Computer Science
Engineering
Jianxu Liu
Songsak Sriboonchitta
Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach
description 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 series data. Secondly, fifteen types of static copulas are used to fit static dependence between tourist arrivals to Thailand and Singapore from China. We take the AIC, BIC and the two tests based on Kendall's transform as criterions for goodness of fit test. Moreover, we apply time-varying copulas that described the dynamic Kendall's tau process. Results show that each growth rate of tourist arrivals has a long-run persistence of volatility, and the time-varying Gaussian copula has the highest explanatory power of all the dependence structures between tourist arrivals to Thailand and Singapore from China in terms of AIC and BIC values. © 2013 Springer-Verlag Berlin Heidelberg.
format Book Series
author Jianxu Liu
Songsak Sriboonchitta
author_facet Jianxu Liu
Songsak Sriboonchitta
author_sort Jianxu Liu
title Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach
title_short Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach
title_full Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach
title_fullStr Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach
title_full_unstemmed Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach
title_sort analysis of volatility and dependence between the tourist arrivals from china to thailand and singapore: a copula-based garch approach
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872768724&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/52455
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