Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model
The achievement of profits when trading on the stock markets is conditioned by a quality analytical forecast of the development of stock prices in the coming period. This research attempts to compare the results of the ARIMA model and the ARIMA-GARCH model to forecast the development of stock price...
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| Format: | Article |
| Language: | English |
| Published: |
Czech Statistical Office
2023-09-01
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| Series: | Statistika: Statistics and Economy Journal |
| Subjects: | |
| Online Access: | https://www.czso.cz/documents/10180/192164332/32019723q3_zikova_analyses.pdf/c9495a5f-b66d-4f69-bb7e-8d020ec4c67d?version=1.1 |
| _version_ | 1797681444655464448 |
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| author | Alžběta Zíková Jitka Veselá |
| author_facet | Alžběta Zíková Jitka Veselá |
| author_sort | Alžběta Zíková |
| collection | DOAJ |
| description | The achievement of profits when trading on the stock markets is conditioned by a quality analytical forecast of the development of stock prices in the coming period.
This research attempts to compare the results of the ARIMA model and the ARIMA-GARCH model to forecast the development of stock prices on a sample of selected stocks from the Czech, German, Austrian, Polish and British markets. The 4 most liquid titles from each of the above-mentioned markets were selected for the sample of analyzed stocks. Available daily closing stock price data, mostly from the period 2000–2022, were used for the analysis.
Research has shown that for most of the analyzed titles, it is more appropriate to use the ARIMA-GARCH model, which better captures variability for this data than just the ARIMA model. The quality of the selected model is evaluated by autocorrelation, heteroskedasticity tests, and Theil´s inequality coefficient. |
| first_indexed | 2024-03-11T23:44:55Z |
| format | Article |
| id | doaj.art-639c5d215e4745059bed291c1be61be5 |
| institution | Directory Open Access Journal |
| issn | 0322-788X 1804-8765 |
| language | English |
| last_indexed | 2024-03-11T23:44:55Z |
| publishDate | 2023-09-01 |
| publisher | Czech Statistical Office |
| record_format | Article |
| series | Statistika: Statistics and Economy Journal |
| spelling | doaj.art-639c5d215e4745059bed291c1be61be52023-09-19T10:39:36ZengCzech Statistical OfficeStatistika: Statistics and Economy Journal0322-788X1804-87652023-09-01103334235410.54694/stat.2023.4Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH ModelAlžběta Zíková0Jitka Veselá1Prague University of Economics and Business, Prague, Czech RepublicPrague University of Economics and Business, Prague, Czech RepublicThe achievement of profits when trading on the stock markets is conditioned by a quality analytical forecast of the development of stock prices in the coming period. This research attempts to compare the results of the ARIMA model and the ARIMA-GARCH model to forecast the development of stock prices on a sample of selected stocks from the Czech, German, Austrian, Polish and British markets. The 4 most liquid titles from each of the above-mentioned markets were selected for the sample of analyzed stocks. Available daily closing stock price data, mostly from the period 2000–2022, were used for the analysis. Research has shown that for most of the analyzed titles, it is more appropriate to use the ARIMA-GARCH model, which better captures variability for this data than just the ARIMA model. The quality of the selected model is evaluated by autocorrelation, heteroskedasticity tests, and Theil´s inequality coefficient.https://www.czso.cz/documents/10180/192164332/32019723q3_zikova_analyses.pdf/c9495a5f-b66d-4f69-bb7e-8d020ec4c67d?version=1.1arimagarchstock price predictiontime series |
| spellingShingle | Alžběta Zíková Jitka Veselá Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model Statistika: Statistics and Economy Journal arima garch stock price prediction time series |
| title | Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model |
| title_full | Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model |
| title_fullStr | Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model |
| title_full_unstemmed | Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model |
| title_short | Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model |
| title_sort | forecasting analysis of stock prices on european markets using the arima garch model |
| topic | arima garch stock price prediction time series |
| url | https://www.czso.cz/documents/10180/192164332/32019723q3_zikova_analyses.pdf/c9495a5f-b66d-4f69-bb7e-8d020ec4c67d?version=1.1 |
| work_keys_str_mv | AT alzbetazikova forecastinganalysisofstockpricesoneuropeanmarketsusingthearimagarchmodel AT jitkavesela forecastinganalysisofstockpricesoneuropeanmarketsusingthearimagarchmodel |