Journal of Mathematics and Statistics

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

Nop Sopipan

DOI : 10.3844/jmssp.2013.65.71

Journal of Mathematics and Statistics

Volume 9, Issue 1

Pages 65-71

Abstract

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.

Copyright

© 2013 Nop Sopipan. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.