By using only two major terms (-1.5430HangSeng(t)) /(-5.2054 MLR(t)) to plot graph against SET(t), the authors assert that the SET index can be reasonably explained . Figure 1 and Figure 2 show SET index plot against the two major terms, using data from January 2003 to December 2005 and from January 2005 to December 2006 respectively. Figure 3 shows the 10-days
simple moving average of the SET index and (-1.5430HangSeng) / (-5.2054MLR) based on data during January 2005 to December 2006.
It can be implied from these two figures that the SET index can be reasonably described by Hang Seng index and MLR in 2003 and 2004 however, during 2005 to 2006, there are some different movement directions of the SET index and -1.5430HangSeng / -5.2054 MLR. Since data of the first 420 days during 2003 to 2004 was used as training data [14], therefore the terms of (-1.5430HangSeng)/(-5.2054MLR) well explained the SET index in this period.
Generally, the Thai stock market environments keep changing. Using those terms, which were trained by data on periods that was long before the prediction period, to explain the SET index of 2005 and 2006 may not be efficient, as seen in figure 2 and figure 3. This is because recent situations were not used in the developing prediction model.