Time Series Analysis Using ARCH Models: A Case Analysis of Australian Stock Index
2017 ◽
Vol 3
(1)
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pp. 74-80
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Keyword(s):
Australian All Ordinaries Stock Index has been in the headline since 1997 for its tear jerking effect on the stock exchange. Present work attempts to develop a realistic time-series model to explain the behavior of the stock price data during 2 January 1997 to 29 December 2006 collected from www.yahoofinance.com. To begin with residual analysis reveals that assumption of constant one period ahead forecast variance does not hold true. Accordingly, a new class of stochastic processes, called Autoregressive Conditional Heteroscedastic (ARCH) is studied. To this end, Computer programs on Ms-Excel have been used to fit the ARCH model.
2021 ◽
Vol 05
(06)
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pp. 214-233
2018 ◽
Vol 9
(12)
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pp. 1915-1930
2020 ◽
Vol 17
(4)
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pp. 215-227
Keyword(s):
2003 ◽
Vol 11
(06)
◽
pp. 671-690
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Keyword(s):
2021 ◽
Vol 10
(1)
◽
pp. 345-356
Keyword(s):
Keyword(s):
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