The Dependence Structure and Co-movement toward between Thai's Currency and Malaysian's Currency: Markov Switching Model in Dynamic Copula Approach (MSDC)

Abstract

The international finance modelling of AEC's currencies have to be investigated more on copula approach that tests as a standard tool in financial modelling. Probabilistic capability and exposure density function are looking how to obtain empirical data for the econometric modelling of time series for financial problems. A unique question for opportunity to study this issue in the financial field is how accurate are the predictions of Markov Switching Model in Dynamic Copula approach (MSDC) algorithm. Dependent structure and co-movement between which cover available daily data during the period 2006-2013 of currencies both Thai Baht (THB) and Malaysian Ringgit (MYR) were investigated. The model selection based on AIC and BIC confirmed that the Elliptical copula fitted for those currencies appreciated value to against the US dollar. The model selection based on AIC and BIC indicated that the Elliptical copula fitted for those currencies depreciated value to against the US dollar. The overall benefit is to give the applied researchers knowledge and information which researchers can understand and apply to obtain confirmation a new reliable knowledge of MSDC and protect the wealth of money market and safety every working day.