Empirical Analysis of Logarithmic Return Rate of China’s Financial Stocks—based on the ARMA-GARCH Model

DOI

10.2991/ssmi-18.2019.51How to use a DOI?

Keywords

Time series, logarithmic return rate of China’s financial stocks, ARMA-GARCH model.

Abstract

This paper studies the predicted average prices of financial stocks of 90 Chinese A-share listed financial companies. By analyzing the average daily closing prices from April 3rd, 1991 to July 23rd, 2018, it finds that they are consistent with the GARCH model of time series. Therefore, the model is adopted for data prediction, and the prediction results obtained indicate that the average prices of China’s financial stocks will rise in the future.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yang Ding
PY  - 2019/02
DA  - 2019/02
TI  - Empirical Analysis of Logarithmic Return Rate of China’s Financial Stocks—based on the ARMA-GARCH Model
BT  - Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)
PB  - Atlantis Press
SP  - 286
EP  - 290
SN  - 2352-5428
UR  - https://doi.org/10.2991/ssmi-18.2019.51
DO  - 10.2991/ssmi-18.2019.51
ID  - Ding2019/02
ER  -