FORECASTING THE FINANCIAL RETURNS FOR USING MULTIPLE REGRESSION BASED ON PRINCIPAL COMPONENT ANALYSIS | Science Publications

Journal of Mathematics and Statistics

Nop Sopipan¹ 

关键词: SET Index;    Forecasting;    Principal Component Analysis;    Multicollinearity;   

DOI  :  10.3844/jmssp.2013.65.71

学科分类：社会科学、人文和艺术（综合）

来源: Science Publications

【 摘 要 】

The aim of this study was to forecast the returns for the Stock Exchange of Thailand (SET) Index by adding some explanatory variables and stationary Autoregressive order p (AR (p)) in the mean equation of returns. In addition, we used Principal Component Analysis (PCA) to remove possible complications caused by multicollinearity. Results showed that the multiple regressions based on PCA, has the best performance.

【 授权许可】

Unknown