Year: 2024
Type: article
Abstract: Returns on stocks often fluctuate greatly.Financial analysts must develop the right models in order to predict returns on stocks and volatility.This study constructs an initial AR model for predicting Microsoft's daily return.It then uses the ARCH-LM test method to verify the ARCH impact in the residuals and plots the ACF and PACF plots to determine the autocorrelation relationship between the squares of the residual terms.Finally, it constructs the full model, which consists of a GARCH model to predict Microsoft's volatility and an AR model to forecast the company's daily return.
Author: Runsheng Rong
Institution: Xi’an Jiaotong-Liverpool University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4412011644