Time Series Analysis Using ARCH Models: A Case Analysis of Australian Stock Index

Prabhat Mittal

doi:10.48001/veethika.2017.03.01.007

Time Series Analysis Using ARCH Models: A Case Analysis of Australian Stock Index

Prabhat Mittal Satyawati College (Eve), University of Delhi https://orcid.org/0000-0001-5352-7955

DOI: https://doi.org/10.48001/veethika.2017.03.01.007

Keywords: Time series analysis, ARCH models, Australian Stock Index

Abstract

Australian All Ordinaries Stock Index has been in the headline since 1997 for its tear jerking effect on the stock exchange. Present work attempts to develop a realistic time-series model to explain the behavior of the stock price data during 2 January 1997 to 29 December 2006 collected from www.yahoofinance.com. To begin with residual analysis reveals that assumption of constant one period ahead forecast variance does not hold true. Accordingly, a new class of stochastic processes, called Autoregressive Conditional Heteroscedastic (ARCH) is studied. To this end, Computer programs on Ms-Excel have been used to fit the ARCH model.

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Published

2017-03-31

How to Cite

Mittal, P. (2017). Time Series Analysis Using ARCH Models: A Case Analysis of Australian Stock Index. VEETHIKA-An International Interdisciplinary Research Journal, 3(1), 74-80. https://doi.org/10.48001/veethika.2017.03.01.007

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Issue

Vol 3 No 1 (2017)

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Articles

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