PINJISAKIKOOL, Teerapong - In: EuroEconomica (2009) 1(22), pp. 47-57
This paper applies ARIMA-GARCH and ARIMA-TARCH with the dummy variable to explore whether futures in The Agricultural Futures Exchange of Thailand (AFET) can stabilize the spot prices volatility or not. Using the three spot prices of the futures’ underlying products which are still trading in...