การวิเคราะห์ความสัมพันธ์ระหว่างความผันผวนของอัตรา แลกเปลี่ยน ราคาน้ำมันและราคาทองคำของตลาดซื้อขาย ล่วงหน้าในประเทศไทย

Abstract

The purposes of this study were to analyze the relationship in volatility among Thailand exchange rate to the US dollar, oil prices and gold prices future in Thailand by using daily secondary data from January 1, 2010 to December 31, 2014. The total duration was five years with 1,220 data. The study used the analysis of fluctuation in many conditional equations which were VARMA-GARCH, VARMA-AGARCH and CCC models. The unit roots Tests yielded the results that Thailand exchange rate to the US dollar, oil prices and gold prices future in Thailand were stationary at 0 Order of Integration or I(0). It showed that the information could be used to test the model. The analysis of fluctuation in many conditional equations found that the effective model for exchange rate was CCC model (Conditional Correlation Coefficient). The gold market and the crude oil market had no effect on exchange rate. It indicated that it was efficient market hypothesis. It the case of gold market in Thailand in the future, the effective model was VARMA-GARCH. It revealed that return volatility in crude oil market affected the return volatility in gold market in Thailand in the opposite direction From, the results of studying the case study of crude oil market in the future of Thailand ; it found that the effective model was VARMA-GARCH. It revealed the return volatility in exchange rate affected oil price in Thailand in the opposite direction.