Analysis of volatility of and dependence between exchange rate and inflation rate in Lao people's democratic republic using copula-based GARCH approach

• Main Authors: Tongvang Xiongtoua, Songsak Sriboonchitta
• 格式: Book Series
• 出版: 2018
• 主題: Computer Science; Engineering
• 在線閱讀: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897851554&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/53396

This paper aims to conduct a study of the volatility and dependence between the exchange rate and inflation rate in Laos. The results of the study show that the ARMA (1, 1) - GARCH (1, 1) models were appropriate for two random variables. The KS and Box-Ljung tests for skewed-t distribution and autoc...