Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index
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DOI: 10.3390/e24020158
Abstract: This research aims to compare the performance of ARIMA as a linear model with that of the combination of ARIMA and GARCH family models to forecast S&P500 log returns in order to construct algorithmic investment… read more here.
Keywords: arima sgarch; index; algorithmic investment; hybrid arima ... See more keywords