Exchange Rate Volatility and Cointegration of ASEAN Member Countries

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Published: Feb 22, 2024
Keywords:
Exchange rates Volatility Cointegration ARMA ARCH-type models ASEAN member countries

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Piyasiri Ruangsrimun
School of Economics, Sukhothai Thammathirat Open University (STOU), 9/9 Moo 9, Bang Phut Subdistrict, Pak Kret District, Nonthaburi Province, 11120, Thailand

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.

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How to Cite
Ruangsrimun, P. (2024). Exchange Rate Volatility and Cointegration of ASEAN Member Countries. Interdisciplinary Research Review, 19(1). Retrieved from https://ph02.tci-thaijo.org/index.php/jtir/article/view/248888
Issue
Vol. 19 No. 1 (2024): January - February
Section
Research Articles
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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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