Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/74063
Title: Dependent structure of Gross Domestic Product and inflow of foreign direct investment from China in Asean member countries Using VARMA-GARCH Copula approach
Other Titles: โครงสร้างการขึ้นอยู่กับกันระหว่างผลิตภัณฑ์มวลรวมและเงินทุนไหลเข้า โดยตรงจากประเทศจีนในกลุ่มอาเซียนโดยวิธีวาร์มาการ์ช คอปปูลา
Authors: Chukiat Chaiboonsri
Anuphak Saosaovaphak
Korawan Kongsirikorn
Issue Date: 2021
Publisher: Chiang Mai : Graduate School, Chiang Mai University
Abstract: This study aims to investigate and analyse the construction of dependencies between gross domestic product (GDP) and inflow of foreign direct investment from China FDI) on 5 ASEAN countries ASEAN-5), namely, Singapore, Malaysia, Thailand, the Philippines, and Indonesia, by using each country's GDP data. The data of ASEAN-5 and FDI from 1996 until 2018 was used via the VARMA-GARCH method, considering the lowest error value in the form of copulas demonstration. The results of the study reveal that the data in the asymmetric copula group that the risk of direct investment from China occurred by gross domestic product volatility of each country has a massive impact. On the contrary, for any country in the symmetric copula group, the risk from gross domestic product volatility that is directly affected from foreign investment has a slight difference.
URI: http://cmuir.cmu.ac.th/jspui/handle/6653943832/74063
Appears in Collections:ECON: Theses

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