Souvenir production in community-based tourism and poverty reduction in Thailand
This paper examines the time variation in return volatility in the Stock Exchange of Thailand during 1975-2010. Using GARCH-type methodology, together with Bai and Perron’s structural break test, we find that there are two structural breaks in the mean of the conditional volatility of both daily and monthly returns. The empirical analysis in this paper reveals that the structural changes in returns volatility are more likely to be a consequence of policy and regulatory change rather than economic crisis.
Volume (Year): 1 (2012)
Issue (Month): 3 (September)
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