TABLE OF CONTENTS
Page
Acknowledgements iii
Abstract (Thai) v
Abstract (English) vii
Table of Contents ix
List of Tables xii
List of Figures xiv
Chapter 1 Introduction 1
1.1 Statement of the Problem and the Signification of the Study 1
1.2 Objectives of the Study 4
1.3 Overviews 5 Chapter 2 Methodology and Model Specifications 12
2.1 GARCH 13
2.2 GJR 13
2.3 EGARCH 14
2.4 VARMA-GARCH 16
2.5 VARMA-AGARCH 16
2.6 CCC 17
2.7 DCC 18
Chapter 3 Modelling the Stock and Bond Returns and Volatility in South- East Asia
20
3.1 Introduction 22
3.2 Model Specifications 23
3.3 Data and Estimation 29
3.4 Empirical Results 30
3.5 Conclusion 33
Chapter 4 Modelling Stock Volatility in South-East Asia 46
4.1 Introduction 48
4.2 Model Specifications 49
4.3 Data and Estimation 55
4.4 Empirical Results 56
4.5 Conclusion 58
Chapter 5 Modelling the Volatility in Bond Returns in South-East Asia 71
5.1 Introduction 73
5.2 Model Specifications 75
5.3 Data 81
5.4 Empirical Results 82
5.5 Concluding Remarks 84
Chapter 6 Conclusion 101
6.1 Summary of the Study 101
6.2 Suggestions for the Further Study 104 References 106 Appendices 110
Appendix A 111
Appendix B 129
Appendix C 145
Curriculum Vitae 174
LIST OF TABLES
Table Page
3.1 Summary of Variable Names 34
3.2 ADF test of a Unit Root in the Returns 35
3.3 Univariate GARCH (1,1) 36
3.4 Univariate GJR (1,1) 38
3.5 Univariate EGARCH (1,1) 40
3.6 Constant Conditional Correlation between Returns in CCC- GARCH(1,1)
42
3.7 Summary of Volatility Spillovers and Asymmetric Effect of Negative and Positive Shocks
43
3.8 DCC-GARCH(1,1) Estimates 44
4.1 Summary of Variable Names 59
4.2 ADF Test of a Unit Root in the Returns 60
4.3 Univariate GARCH (1,1) 61
4.4 Univariate GJR (1,1) 63
4.5 Univariate EGARCH (1,1) 65
4.6 Constant Conditional Correlation between Returns in CCC- GARCH (1,1)
67
4.7 Summary of Volatility Spillovers and Asymmetric Effect of Negative and Positive Shocks
68
4.8 DCC-GARCH(1,1) Estimates 69
Table
5.1 Summary of Variable Names 86
5.2 ADF Test of Unit Roots in Returns 87
5.3 Univariate GARCH (1,1) 88
5.4 Univariate GJR (1,1) 89
5.5 Univariate EGARCH (1,1) 90
5.6 Constant Conditional Correlations Between Returns 91
5.7 Estimates for VARMA-GARCH(1,1) 92
5.8 Estimates for VARMA-AGARCH(1,1) 93
5.9 Summary of Volatility Spillovers and Asymmetric Effects 94
5.10 DCC Estimates 95
LIST OF FIGURES
Figure Page
1.1 Market Size of Stock Markets (USD Billions) 8
1.2 Stock Markets Indices 9
1.3 Market Size of Bond Markets (USD Billions) 10 1.4 Trade Volume of Bond Markets (USD Billions) 11
3.1 Daily Returns for All series 45
4.1 Daily Returns for All series 70
5.1 Market Size of Bond Markets (USD Billions) 96 5.2 Trade Volume of Bond Markets (USD Billions) 97
5.3 Daily Returns for All Series 98
5.4 Dynamic Paths of Conditional Correlations of Pairs of Assets for VARMA-GARCH
99
5.5 Dynamic Paths of Conditional Correlations of Pairs of Assets for VARMA-AGARCH
100
