Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index
This research aims to compare the performance of ARIMA as a linear model with that of the combination of ARIMA and GARCH family models to forecast S&P500 log returns in order to construct algorithmic investment strategies on this index. We used the data collected from Yahoo Finance with daily fr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-01-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/24/2/158 |