Abstract: In this paper, we study the rainfall using a time series
for weather stations in Nakhon Ratchasima province in Thailand by
various statistical methods to enable us to analyse the behaviour of
rainfall in the study areas. Time-series analysis is an important tool in
modelling and forecasting rainfall. The ARIMA and Holt-Winter
models were built on the basis of exponential smoothing. All the
models proved to be adequate. Therefore it is possible to give
information that can help decision makers establish strategies for the
proper planning of agriculture, drainage systems and other water
resource applications in Nakhon Ratchasima province. We obtained
the best performance from forecasting with the ARIMA
Model(1,0,1)(1,0,1)12.
Abstract: In this paper, we forecast the volatility of Baht/USDs using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting Baht/USD volatility. The MRS-GARCH is the best performance model for Baht/USD volatility in short term but the GARCH model is best perform for long term.