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.
|Number of pages||6|
|Journal||Songklanakarin Journal of Science and Technology|
|Publication status||Published - 2001|