การวัดความเสี่ยงและการพยากรณ์ ผลตอบแทนจากการลงทุนในพันธบัตรรัฐบาลไทย

Main Article Content

กมล บุษบา
ภูดิท องค์ตระกูล
ธนินธรณ์ สารพรรณ์

Abstract

This research aims to find an appropriate risk measure and forecast the return on investment in Thai government bonds. Secondary data of return on investment in Thai government bonds from January 1, 2007, to October 31, 2020, were collected from the Thai Bond Market Association website.  Goodness of fit was performed to find the distribution of the rate of return on investment in Thai government bonds to find the suitable measure of risk at 90, 95, and 99 confidence levels. The forecasting of a return of investment in Thai government bonds was done by ARMA-model selected from the appropriate forecasting model selection command using Bayesian information criterion in SPSS version 26. It was found that the conditional value at risk is a suitable risk measure for the rate of return on investment in Thai government bonds dataset. For forecasting the return on investment in the Thai government bonds, the predicted value is very close to the actual value, according to the mean absolute percentage error, which is less than 1 percent.

Downloads

Download data is not yet available.

Article Details

Section
วิทยาศาสตร์กายภาพ

References

Research and Development Division, The Thai Bond Dealing Centre, Getting to know Value at Risk, Available Source: http://www.thaibma.or.th/pdf/Article/VaR.pdf, July 17, 2021. (in Thai)

Klugman, S. A., Panjer, H.H., and Willmot, G. E., 2012, Loss Models From Data to Decisions, 4th Ed., John Wiley & Sons, Inc., Hoboken, NJ.

Saowanee Chatpaisansuk, 2000, Risk Measuring of Loss from Investing in Securities Within the Stock Exchange of Thailand Using Value-at-Risk Techniques, Thammasat University, Bangkok. (in Thai)

Maria Bohdalova, 2007, A Comparison of Value-at-Risk Methods for Measurement of the Financial Risk, Comenius University, Bratislava.

Yasuhiro Yamai, Toshinao Yoshiba, 2005, Value-at-risk Versus Expected Shortfall: A Practical Perspective, Bank of Japan, Tokyo.

Paphanan Luankosolchai, 2015, A Comparison of Value at Risk and Conditional Value at Risk for Industry Total Return Index, Thammasat University, Bangkok. (in Thai)

Office of The Royal Society, 2018, Statistics Dictionary, Chulalongkorn University Printing House, Bangkok. (in Thai)