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Analysis of S&P500 Returns Using GARCH and ARIMA Models

Explore the S&P500 index using GARCH and ARIMA modeling techniques on different transformations, autocorrelation functions, and residual analyses. 8

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Analysis of S&P500 Returns Using GARCH and ARIMA Models

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  1. GARCH Generalized Autoregressive Conditional Heteroskedastic Models

  2. Standard and Poor index (S&P500)

  3. Standard and Poor index (S&P500) : Returns (first difference)

  4. Standard and Poor index (S&P500): Log transform

  5. Standard and Poor index (S&P500): Log returns

  6. Autocorrelation function: S&P500

  7. Autocorrelation function: (log10(S&P500))

  8. Autocorrelation function: [(log10(S&P500))]2

  9. ARIMA(2,1,1) for log10 (S&P500): ACF of squared residuals

  10. ARCH(1) for ARIMA residuals: ACF of squared residuals

  11. ARCH(9) for ARIMA residuals: ACF of squared residuals

  12. GARCH(1,1) for ARIMA residuals: ACF of squared residuals

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