REAL EFFECTIVE EXCHANGE RATE’S FORECAST VOLATILITY IN THAILAND’S SIGNIFICANTLY TRADING COUNTRIES

  • จิตตฤณ ชลูดดง
  • สมพร ปั่นโภชา
Keywords: forecasting the volatility, GARCH, RMSE, MAPE, Real Effective Exchange Rate in Thailand’s significantly trading countries

Abstract

To study for forecasting the volatility on the Real Effective Exchange Rate in Thailand’s significantly trading countries by using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Model with monthly data of selected samples. Each selected samples gave the different results so, it also has to use models differently.

The study’s result shows that appropriate models in order to forecast volatility on Real Effective Exchange Rate in selected sample are MA(1) GARCH(1,2) for Thailand , AR(1) AR(7) MA(4) GARCH(2,1) for China , AR(1) MA(6) GARCH(2,2) for Japan and AR(1) AR(7) GARCH(2,1) for U.S.A. respectively

Published
2018-09-01
Section
Engineering and Technology Articles

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