Author(s)

Enping Yu

Corresponding Author

Enping Yu

Abstract

Both ARMA model and GARCH model are time series models. ARMA model is an autoregressive moving average model to analyze and predict the mean of the sequence, while GARCH model is to model the residual variance to analyze and predict the fluctuation of the sequence. This paper uses R software to establish ARMA-GARCH model to analyze and forecast the closing price of ICBC in recent years. It provides some reference for investors to judge the short-term trend of ICBC stock and make investment decisions.

Keywords

ARMA-GARCH model, Volatility, Prediction, Analyze