Time series analysis of banking share returns in Thailand

Saejiang Sunari; Pornwiriyamongkol Wanlapa; Don McNeil

Time series analysis of banking share returns in Thailand

Saejiang Sunari, Pornwiriyamongkol Wanlapa, Don McNeil

Department of Mathematics and Statistics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	443-448
Number of pages	6
Journal	Songklanakarin Journal of Science and Technology
Volume	23
Issue number	3
Publication status	Published - 2001

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title = "Time series analysis of banking share returns in Thailand",

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.",

author = "Saejiang Sunari and Pornwiriyamongkol Wanlapa and Don McNeil",

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AB - 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.

M3 - Article

VL - 23

SP - 443

EP - 448

JO - Songklanakarin Journal of Science and Technology

JF - Songklanakarin Journal of Science and Technology

SN - 0125-3395

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