Comparative Performance of ARIMA and ARCH / GARCH Models on Time Series of Daily Equity Prices for Large Companies

This study provides a comparison of the performance of out-of-sample forecasts from ARMA vs. ARCH/GARCH models, especially relative to the utility of the non-constant estimate of the volatility provided by ARCH/GARCH methods. 31 large company stocks were selected and their daily log returns computed for a 10-year time period. ARIMA and a variety of ARCH… CONTINUE READING