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Research Article · Free to read · Published 17 April 2013

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

Nop Sopipan1

Journal of Mathematics and Statistics, Volume 9, Issue 1, pp. 65–71 · doi.org/10.3844/jmssp.2013.65.71

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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.

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Sopipan, N. (2013). FORECASTING THE FINANCIAL RETURNS FOR USING MULTIPLE REGRESSION BASED ON PRINCIPAL COMPONENT ANALYSIS. Journal of Mathematics and Statistics, 9(1), 65–71. https://doi.org/10.3844/jmssp.2013.65.71

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FORECASTING THE FINANCIAL RETURNS FOR USING MULTIPLE REGRESSION BASED ON PRINCIPAL COMPONENT ANALYSISJournal of Mathematics and Statistics · Volume 9, Issue 1 · pp. 65–71 · © Science PublicationsDownload