IEEE - Institute of Electrical and Electronics Engineers, Inc. - Stock indices analysis based on ARMA-GARCH model

2009 IEEE International Conference on Industrial Engineering and Engineering Management (IEEM)

Author(s): Weiqiang Wang ; Ying Guo ; Zhendong Niu ; Yujuan Cao
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2009
Conference Location: Hong Kong, China, China
Conference Date: 8 December 2009
Page(s): 2,143 - 2,147
ISBN (CD): 978-1-4244-4870-8
ISBN (Paper): 978-1-4244-4869-2
DOI: 10.1109/IEEM.2009.5373131
Regular:

The generalized autoregressive conditional heteroskedasticity (GARCH) model has become the most popular choice in the analysis of time series datas. In this paper, an autoregressive moving average... View More

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