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Modeling and forecasting the Dow Jones stock index with the EGARCH model

International Journal of Economic Practices and Theories

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Field Value
 
Title Modeling and forecasting the Dow Jones stock index with the EGARCH model
 
Creator Chtourou, Hassen
 
Subject Stock market forecasting
ARCH family; Dow Jones stock index; EGRCH model
G15; G17
 
Description The investigation of forecasting the volatility of stock markets has attracted the interest of many researchers and has been the object of several applications. Forecasts are essential input to all types of service production systems because it enables investors to anticipate the future. Many forecasting methods are available to help investors for planning and to estimate future prices, but forecasting is not an exact science and the actual results usually differ. The objective of this paper is to analyze and estimate the Dow Jones stock index. In this paper, we present the ARCH family and examine the volatility of the Dow Jones stock index. In the empirical analysis, we estimate the Dow Jones stock index with EGARCH model until 2020.
 
Publisher International Journal of Economic Practices and Theories
 
Contributor —
 
Date 2015-01-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.ijept.org/index.php/ijept%20/article/view/Modeling_and_Forecasting_the_Dow_Jones_Stock_Index_With_the_EGARCH_Model
 
Source International Journal of Economic Practices and Theories; Vol 5, No 1 (2015); 51-61
2247 – 7225
 
Language eng
 
Relation http://www.ijept.org/index.php/ijept%20/article/view/Modeling_and_Forecasting_the_Dow_Jones_Stock_Index_With_the_EGARCH_Model/pdf_86