Paper Title
The Impact of ESG Factors on Securities Risk: Evidence from the THSI in Thailand Using the GARCH Model

Abstract
This study evaluates the risk profiles of Thai securities in the Thailand Sustainability Investment (THSI) index versus non-THSI securities using the GARCH(1,1) model. Results indicate that THSI securities generally exhibit lower volatility, with the Transportation industry showing the least risk (1.60%). However, the Financials and Real Estate sectors present exceptions with minimal or reversed differences. These findings highlight the potential of ESG-focused investments to enhance portfolio stability while emphasizing the need for industry-specific risk assessments.