Citation:

Runsheng Rong. "Forecasting Model of Microsoft’s Daily Return and Its Volatility" International Research Journal of Economics and Management Studies, Vol. 3, No. 9, pp. 158-165, 2024.

Abstract:

Returns on stocks often fluctuate greatly. Financial analysts must develop the right models in order to predict returns on stocks and volatility. This study constructs an initial AR model for predicting Microsoft's daily return. It then uses the ARCHLM test method to verify the ARCH impact in the residuals and plots the ACF and PACF plots to determine the autocorrelation relationship between the squares of the residual terms. Finally, it constructs the full model, which consists of a GARCH model to predict Microsoft's volatility and an AR model to forecast the company's daily return.

References:

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Keywords:

forecast the return of stock and its volatility, AR model, ARCH-LM test, ACF and PACF plots, GARCH model.