Modeling Analysis of Vanke Enterprise Daily Profitability

DOI

10.2991/978-94-6463-036-7_256How to use a DOI?

Keywords

GARCH-like Model; Vanke Group; Model Fitting; Model Selection

Abstract

In this paper, the stock price and return rate of Vanke Group are modeled by GARCH model, and the fitting effects of GARCH model, EGARCH model and ARMA-EGARCH model are used and compared respectively. Through the comparison of AIC criteria, ARMA-EGARCH model is selected, and serves as the final model to explain the stock price of Vanke Group. After comparing the AIC criteria and selecting the model, the selected model was tested for the residual term and the residual square term, and the QQ plot of the standardized residual was drawn for comparison, and the model fitting was finally determined. Finally, after comparing the predicted value with the predicted confidence interval and the true value, it is concluded that ARMA-EGARCH model not only has a better interpretation effect, but also has a better prediction ability.

Copyright

© 2022 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

TY  - CONF
AU  - Yifan Chen
PY  - 2022
DA  - 2022/12/31
TI  - Modeling Analysis of Vanke Enterprise Daily Profitability
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 1712
EP  - 1722
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_256
DO  - 10.2991/978-94-6463-036-7_256
ID  - Chen2022
ER  -