Suthasinee Suwannapak; Surachai Chancharat - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-9
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations...
