Modelling conditional correlations in the volatility of Asian rubber spot and futures returns |
| |
Authors: | Chia-Lin Chang Thanchanok KhamkaewMichael McAleer Roengchai Tansuchat |
| |
Affiliation: | a Department of Applied Economics, National Chung Hsing University, 250 Kuo Kuang Road, National Chung Hsing University, Taichung 402, Taiwan b Faculty of Economics, Maejo University, Chiang Mai, Thailand c Econometrics Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands d Tinbergen Institute, The Netherlands e Department of Economics and Finance, University of Canterbury, New Zealand |
| |
Abstract: | Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are subject to not only to changes in demand, but also speculation regarding future markets. Japan and Singapore are the major future markets for rubber, while Thailand is one of the world's largest producers of rubber. As rubber prices are influenced by external markets, it is important to analyse the relationship between the relevant markets in Thailand, Japan and Singapore. The analysis is conducted using several alternative multivariate GARCH models. The empirical results indicate that the constant conditional correlations arising from the CCC model lie in the low to medium range. The results from the VARMA-GARCH model and the VARMA-AGARCH model suggest the presence of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional volatility. Finally, the DCC model suggests that the conditional correlations can vary dramatically over time. In general, the dynamic conditional correlations in rubber spot and futures returns shocks can be independent or interdependent. |
| |
Keywords: | C22 C32 G17 G32 Q14 |
本文献已被 ScienceDirect 等数据库收录! |
|