Many studies have been conducted on the volatility of exchange rate affected by
trade volume, trade price, and investment cost. However, studies on the effect of trade volume
on the volatility of exchange rate have been inconclusive. The rubber industry is one of the
most important economies in Thailand. We applied the VARMA-GARCH and
VARMA-AGARCH models to determine the relationship between the volatility of Thai rubber
price return and the volatility of different exchange rates. The coefficients of volatility of
exchange rates comprise the Thai Baht, the Chinese Yuan, the Euro, and the Malaysian
Ringgit; these currencies are significant in both models. The results indicate that the trade
volume is an important factor in international product pricing. We recommend the Thai
central bank set up some monetary policies to affect the rubber price.
Relation:
The 5th International Conference of the Thailand Econometric Society (TES2012)
