การวิเคราะห์ความผันผวนของผลตอบแทนของกองทุนรวมที่ลงทุนในต่างประเทศ

Abstract

The objective of this study was analyze the volatility of the returns of foreign investment fund. This study used daily data from 10 foreign investment funds during the period of 4 January 2012 to 28 December 2012.The unit root test by ADF shows that all of time series data was stationary at a 0 order of integration or I(0)

The result from the VARMA-GARCH model found that historical volatility of returns of KK- PROP would affect to the current volatility of returns to an equal magnitude. The volatility of returns of SCBPGF would affect the current volatility of returns to different magnitude.

The result of VARMA-AGARCH found that all of ten foreign investment funds had not asymmetric effects that mean ten foreign investment funds didn’t spill over to each other.

The result of multivariate conditional volatility by using CCC model found that GW has the volatility of returns between MS-ASIAN SM, KK PROP, ABAG, SCBPGF and ASP-S&P500. T-Global-Value has the volatility of returns with TISCOUS. ASP-S&P500 has the volatility of returns between ABAG, SCBPGF and KF-WATER. KF-WATER has the volatility of returns between KK PROP, ABAG and SCBPGF.

The result of DCC model found that there are not the conditional correlations because the DCC(1) and DCC(2) are significantly. Therefore, the constant conditional correlations do hold.