MODELLING OF HOURLY PRICE VOLATILITY OF THAILAND PROPERTY STOCK MARKET USING GARCH ANALYSIS
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Abstract
The objective of this research was to examine the intraday pattern of hourly price fluctuations in the real estate stock market in Thailand. We utilized the GARCH model to assess the impact of major macroeconomic and company - specific events on hourly volatility. This study aimed to fill the knowledge gap regarding factors affecting hourly price fluctuations in Thailand's real estate stocks, providing crucial insights for risk management and investment decision - making. The top 10 highest - performing real estate companies in Thailand in 2023 were subjected to GARCH (1,1) volatility analysis to characterize and predict stock returns over time. This analysis focused on identifying factors influencing hourly price fluctuations to offer significant insights for risk management and investment strategies. By analyzing the volatility of hourly returns from 2019 to 2023, the study found that the higher level of underlying volatility at the beginning of trading gradually decreased each hour, rising again near the end of trading. This indicated that early market activity was highly volatile, with volatility diminishing later in the day. Examining volatility patterns associated with interest rate announcements revealed significant fluctuations during trading hours and sensitivity to past changes. Additionally, the research suggested that China Evergrande's bankruptcy had an insignificant impact on intraday returns and volatility throughout the trading day.
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