Time series analysis of banking share returns in Thailand

Saejiang Sunari, Pornwiriyamongkol Wanlapa, Don McNeil

    Research output: Contribution to journalArticlepeer-review

    Abstract

    An index is constructed based on an equally weighted portfolio of seven major banking shares in Thailand. A GARCH (1,1) model is fitted to the time series of returns on this index for successive trading day from January 1994 to December 1999. During this period the logarithm of the volatility is well fitted by a stationary time series model comprising an additive combination of a single sinusoidal function with a period of six years, and an ARMA (1,1) model.
    Original languageEnglish
    Pages (from-to)443-448
    Number of pages6
    JournalSongklanakarin Journal of Science and Technology
    Volume23
    Issue number3
    Publication statusPublished - 2001

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