Tanattrin Bunnag

Can Geopolitical Risk Improve the Forecasting of Thai Stock-Market Returns? Evidence from Econometrics and Machine-Learning Models

Geopolitical uncertainty may affect financial markets, but its incremental value for forecasting emerging-market stock returns remains unclear. Using monthly data from January 1990 to July 2026, this study compares ARIMA-GARCH and ARIMAX-GARCH benchmarks with Random Forest, XGBoost, LightGBM, and a zero-return benchmar...