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Analysis and Predication of Stock Price of China Eastern Airlines Based on ARIMA-GARCH Model

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DOI: 10.25236/icbdem.2020.058


Yang Yang, and Huashan Tan

Corresponding Author

Yang Yang, and Huashan Tan


This paper takes the daily data of the historical closing price of China Eastern Airlines (600115) as the sample series, and uses some models in time series to analyze and forecast its price. First, the ARMA model is established by analyzing the sample series. Secondly, the obvious conditional heteroscedasticity in the residual error of the model is found after the ARCH testing, and a more reasonable ARIMA-GARCH model which can eliminate the conditional heteroscedasticity is set up. Finally, this paper forecast the closing price in the next three days. The result of empirical analysis shows that the model is effective and accurate. This has a certain guiding significance for the decision-making of investors.


Time series; ARMIA-GARCH model; EViews software