Research on stock returns forecast of the four major banks based on ARMA and GARCH model
Document Type
Conference Proceeding
Publication Date
8-21-2020
Abstract
This paper uses the prediction method of time series analysis to fit and predict the stock daily logarithmic return series of the four major banks. The ARMA model and the GARCH model are constructed and compared empirically. The results show that the GARCH model is better than that of the ARMA model in the fitting effect. In the prediction effect, The ARMA model is the best, followed by the GARCH model.
Publication Title
Journal of Physics: Conference Series
DOI
10.1088/1742-6596/1616/1/012075
Recommended Citation
Hu, Yuanwei; Tao, Zheng; Xing, Dongao; Pan, Ziyi; Zhao, Junyi; and Chen, Xiaoling, "Research on stock returns forecast of the four major banks based on ARMA and GARCH model" (2020). Kean Publications. 1191.
https://digitalcommons.kean.edu/keanpublications/1191