การวิเคราะห์มูลค่าความเสี่ยงและการส่งผ่านความผันผวนของดัชนีราคารายกลุ่มธุรกิจที่ทรัสต์เพื่อการลงทุนในอสังหาริมทรัพย์ในไทยลงทุนในช่วงก่อนและภายในช่วงการระบาดของ COVID-19

Abstract

This paper aims to investigate the Value at Risk (VaR) and Component Expected Shortfall (CES) using the new data set simulated from BEKK to find the optimal proportion of sectoral indices in Thailand, including Commercial, Industrial Goods, Transport and Warehousing, Property Development, and Tourism. We separate data into two groups which are before Covid-19 from Jan 1, 2019 to Jan 12, 2020 and during Covid-19 from Jan 13, 2020 to Jan 13, 2021. The empirical result showed that the return of Tourism and Transportation has the Highest volatility transmission before and during the Covid-19 pandemic. Moreover, transportation has the highest VaR and increased by 20.33%. However, commercial increased only 11.84% during Covid-19. Likewise, the optimal investment shows that the commercial sector was the highest in-vestment proportion while there is no investment proportion for INDUS, TRANS, PROP, and TOUR during the Covid-19 pandemic. Although this study is helpful for the REIT manager decision, including investors, they ought to consider the current situations.