Dependence Evaluation on Thailand's Import from Five ASEAN Countries: A GARCH-Vine Copula Model Approach

Xinyu Yuan ； Songsak Sriboonchitta ； Jie-Chen Tang

《International Journal of Intelligent Technologies and Applied Statistics》 7卷4期 (2014/12) Pp. 339-352

https://doi.org/10.6148/IJITAS.2014.0704.04

並列摘要

In this paper, we attempted to use the GARCH-vine copula model to analyze the dependence structure of Thailand's import from five ASEAN Countries. The empirical results show that that the volatility of Thailand's import from Indonesia and Myanmar has short-run persistence and long-run persistence in the volatility of Thailand's import from five ASEAN countries. In the C-vine copula, there is greater probability of extreme values between Philippines and Singapore. In the Clayton copula, there exists a significant relationship between Philippines and Singapore, Philippines and Indonesia, respectively. In the D-vine copula, there exists a significant relationship between Indonesia and Malaysia, Indonesia and Myanmar, respectively.

並列關鍵字

Thailand ； ASEAN countries ； Import ； GARCH-Vine copula model