1 / 12

Analysis of S&P500 Returns Using GARCH and ARIMA Models

Explore the S&P500 index using GARCH and ARIMA modeling techniques on different transformations, autocorrelation functions, and residual analyses. 8

mtapia
Télécharger la présentation

Analysis of S&P500 Returns Using GARCH and ARIMA Models

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. GARCH Generalized Autoregressive Conditional Heteroskedastic Models

  2. Standard and Poor index (S&P500)

  3. Standard and Poor index (S&P500) : Returns (first difference)

  4. Standard and Poor index (S&P500): Log transform

  5. Standard and Poor index (S&P500): Log returns

  6. Autocorrelation function: S&P500

  7. Autocorrelation function: (log10(S&P500))

  8. Autocorrelation function: [(log10(S&P500))]2

  9. ARIMA(2,1,1) for log10 (S&P500): ACF of squared residuals

  10. ARCH(1) for ARIMA residuals: ACF of squared residuals

  11. ARCH(9) for ARIMA residuals: ACF of squared residuals

  12. GARCH(1,1) for ARIMA residuals: ACF of squared residuals

More Related