Coventry University, Coventry, CV1 5FB, U.K In this article, we build Box-Jenkins ARMA model and ARMA-GARCH model to forecast the returns of shanghai stock exchange composite index in financial engineering. Out-of-sample forecasting performances are evaluated to compare the forecastability of the two models. Traditional engineering type of models aim to minimize statistical errors, however, the...

With the rapid development of economy, investment has become a hot word. Many people hope to find an method make profits. methods such as stocks, wealth management and funds have emerged. In process investment, forecasting trend products is one most important links. This paper analyzes time series APPLE, AMERICAN AIRLINES AMD based on ARMA-GARCH model, evaluates model according AIC, BIC, HQIC o...

We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log-linear spec...

We show how the ARMA-Power GARCH model for the conditional mean and variance can be adapted to analyze times series data showing asymmetry. Dynamics is introduced in the location and the dispersion parameters of skewed location-scale distributions using the same type of structure found in the conditional mean and in the conditional variance in the ARMA-APARCH model. We also propose a general dy...

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency parameter can easily be rendered condi...

Users of agricultural markets frequently need to establish accurate representations of expected future volatility. The fact that range-based volatility estimators are highly efficient has been acknowledged in the literature. However, it is not clear whether using range-based data leads to better risk management decisions. This paper compares the performance of GARCH models, range-based GARCH mo...

This paper stresses the importance of assessing the risk-return trade-off faced by environmental industries in financial markets. One of the most widely-used theoretical models in finance is the conditional CAPM, which describes the conditional risk-return tradeoff in financial markets, whereby both the conditional mean return and conditional beta risk are allowed to vary over time. This paper ...