|
Exchange Rate Volatility and Cointegration of ASEAN Member Countries |
|---|---|
| รหัสดีโอไอ | |
| Creator | Piyasiri Ruangsrimun |
| Title | Exchange Rate Volatility and Cointegration of ASEAN Member Countries |
| Publisher | Phetchaburi Rajabhat University |
| Publication Year | 2567 |
| Journal Title | Interdisciplinary Research Review (IRR) |
| Journal Vol. | 19 |
| Journal No. | 1 |
| Page no. | 60-73 |
| Keyword | exchange rates volatility, cointegration, ARMA, ARCH-type model, ASEAN member countries |
| URL Website | https://ph02.tci-thaijo.org/index.php/jtir |
| Website title | Interdisciplinary Research Review (IRR) |
| ISSN | 2697-536X |
| Abstract | This study investigates the volatility and cointegration of exchange rates in nine selected ASEAN member countries using five forms of the GARCH model. Daily data was sourced from the Bank of Thailand website, as Baht per foreign currency, over the period from October 2, 2018 to October 7, 2022. This data included Malaysia Ringgit, Singapore Dollar, Brunei Darussalam Dollar, Philippines Peso, Indonesia Rupiah, Myanmar Kyat, Cambodia Riel, Laos Kip, and Vietnam Dong. According to the findings of this study, only eight exchange rates were suitable for analysis. The GARCH (1,1), TGARCH (1,1), and PGARCH (1,1) models were determined to be the most applicable, with leverage effects observed in certain exchange rates. The analysis revealed a long-run and short-run relationship between these exchange rates. In order to mitigate the associated risk, investors and governments should carefully monitor news that may affect the value of exchange rates. It is thus essential to pay particular attention to the economic news and its potential impact on exchange rates. |
