Sethapramote, Yuthana; Prukumpai, Suthawan - In: The Empirical Econometrics and Quantitative Economics … 1 (2012) 3, pp. 113-130
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...