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...

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Detalles Bibliográficos
Autores principales: Vo, Nguyen, Ślepaczuk, Robert
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8870867/
https://www.ncbi.nlm.nih.gov/pubmed/35205454
http://dx.doi.org/10.3390/e24020158

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8870867/
https://www.ncbi.nlm.nih.gov/pubmed/35205454
http://dx.doi.org/10.3390/e24020158

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