Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model

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: Chakorn Praprom, Songsak Sriboonchitta
Format: Journal
Published: 2018
Subjects:
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907245355&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53691
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-536912018-09-04T09:55:43Z Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model Chakorn Praprom Chakorn Praprom Songsak Sriboonchitta Mathematics © 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. 2018-09-04T09:55:43Z 2018-09-04T09:55:43Z 2014-01-01 Journal 16860209 2-s2.0-84907245355 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907245355&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53691
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Mathematics
spellingShingle Mathematics
Chakorn Praprom
Chakorn Praprom
Songsak Sriboonchitta
Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
description © 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.
format Journal
author Chakorn Praprom
Chakorn Praprom
Songsak Sriboonchitta
author_facet Chakorn Praprom
Chakorn Praprom
Songsak Sriboonchitta
author_sort Chakorn Praprom
title Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
title_short Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
title_full Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
title_fullStr Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
title_full_unstemmed Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
title_sort investigation of the dependence structure between imports and manufacturing production index of thailand using copula-based garch model
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907245355&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/53691
_version_ 1681424182439575552

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