Arima/garch (1,1) Modelling and Forecasting for a Ge Stock Price Using R
نویسنده
چکیده
This article attempts to present a basic method of time series analysis, modelling and forecasting performance of ARIMA, GARCH (1,1) and mixed ARIMA GARCH (1,1) models using historical daily close price downloaded through the yahoo finance website from the NASDAQ stock exchange for GE company (USA) during the period of 2001 to 2014. This paper also presents a brief analysis technique introduction to R to build up graphing, simulating and computing skills to enable one to see models in economics in a unified way. The great advantage of R compiler is that it is free, extremely flexible and extensible. It uses data that can be downloaded from the internet, and which is also available in different R packages. This article provides discuses in modeling and forecasting briefly and simply. This paper provides short details the R command lines and output. This article is written to be useful for learning time series analysis on basic different levels as well as a research purpose for beginners who beginning the analysis of time series data in the various scientific and statistical research approaches. ARIMA/GARCH (1,1) model is applied to observed the forecasting values of low and high stock price (in USD) for GE company. The results obtained in this paper are based on the work of [10].
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