The Analysis for Volatility of Returns in Stock Exchange of Thailand, USA, UK and Japan

Abstract

The objective of this study was 1) to analysis of the pattern and direction of volatility of rate of returns of stock exchange 2) to study the long-term equilibrium relationship. By using the daily time series secondary data of stock exchange in Thailand, the United States, England and Japan from 1 January 2008 to 31 December 2017, total 2,605 observations. This methodology was 1) to test and analyze volatility with the GARCH model and 2) to test the long-term equilibrium relationship with Cointegration method. The results showed that the stock exchanges with the highest rate of returns, otherwise do not have the highest risks. Moreover, the analyzing volatilities with the GARCH model, it was found that the conditional volatility of returns rate of the stock exchanges in 4 countries depending on past the error term and the conditional volatility. Moreover, this outcomes found that the conditional volatility of the returns on the stock exchange in Thailand and the United States, Thailand and England and finally Thailand and Japan had a long-term equilibrium relationship.