Nyarukotep / ARMA-GARCH-Model

A stock price prediction model based on ARMA and GARCH

ARMA-GARCH-Model

A stock price prediction model based on ARMA and GARCH.

The combination of ARMA and GARCH could be used as a tool to predict stock prices, which is better than AR and MA models.
The ARMA-GARCH model used ARMA for the linear part and GARCH for the residual part.

where 𝑐, 𝜑, 𝜃 are given by ARMA and 𝜔, 𝛼, 𝛽 are given by GARCH.

Prediction result

AR model(Goldman Sachs):

MA model(Goldman Sachs):

ARMA model(Goldman Sachs):

ARMA-GARCH model(Goldman Sachs):

ARMA-GARCH model(General Motors):

ARMA-GARCH model(IBM):

ARMA-GARCH model(Microsoft):

ARMA-GARCH model(Tesla):