Volatility of Stock Returns in the Stock Exchange of Thailand: The Case of Energy and Utilities Group

Authors

  • Dr.Pongsutti Phuensane มหาวิทยาลัยขอนแก่น
  • Nontharat Chinnoraset มหาวิทยาลัยขอนแก่น
  • Dr.Surachai Chancharat มหาวิทยาลัยขอนแก่น
  • Dr.Nongnit Chancharat มหาวิทยาลัยขอนแก่น

Keywords:

GARCH model, Stock return, SET index

Abstract

The objective of this study was to compare the models that estimate volatility of the stock returns in energy and utility groups. This study employed monthly data, closing prices beginning from last day of January 2012 to the last day of December 2016. Applying the Akaike information criterion (AIC) to select the model. The results found that the stock returns of EGCO, got AR(2) MA(2) and EGARCH (1,1), GLOW got AR(1) MA(1) and EGARCH (1,1). PTT got AR(1) MA(1) and GARCH (1,1). PTTEP got AR(3) MA(2) and GARCH-M (1,1). TOP got AR(3) MA(2) and GARCH-M (1,1). The results were different because each model was depend on the volatility of each stock return.

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Published

2018-11-20

How to Cite

Phuensane, D., Chinnoraset, N., Chancharat, D., & Chancharat, D. (2018). Volatility of Stock Returns in the Stock Exchange of Thailand: The Case of Energy and Utilities Group. KKU Research Journal (Graduate Studies) Humanities and Social Sciences, 6(3), 97–104. Retrieved from https://so04.tci-thaijo.org/index.php/gskkuhs/article/view/156355

Issue

Vol. 6 No. 3 (2018)

Section

บทความวิจัย (Articles)