การวิเคราะห์ความสัมพันธ์ระหว่างความผันผวนของผลตอบแทนการลงทุนในสินค้าโภคภัณฑ์ พันธบัตร และดัชนีตลาดหลักทรัพย์ในช่วงสงครามระหว่างรัสเซียกับยูเครน

Abstract

The war between Russia and Ukraine caused severe fluctuations in the economic system. Therefore, understanding the nature of volatility can help in planning to prevent risks that will occur to the financial system or financial-related activities. This study will focus on sectors in the commodities, bonds, and stock index markets that have not yet been studied over six years to compare the volatility and analyze the relationship between the results. Returns on investments in commodities, bonds, and stock indices during the Russia-Ukraine war using daily secondary data of 12 returns with the DCC-GARCH model to study conditional dynamic correlations. and use the estimated fluctuation relationship obtained to explain the results in the form of a graph. The study found that before the war and during the war between Russia and Ukraine, the correlation values of the return volatility of each security were mostly not different. The securities with significantly lower volatility in this study were the 10-Year Treasury Yield of the USA. In the relationship of different fluctuations, this may be due to the complexity of the relationship between each security that changes according to the uncertainty of various situations.