A study of stock returns based on ARMA-GARCH model: Taking the CSI 300 Index as an example

Yating  Chen

doi:10.54691/bcpbm.v33i.2841

Authors

Yating Chen

DOI:

https://doi.org/10.54691/bcpbm.v33i.2841

Keywords:

CSI 300 index; ARCH effect; ARMA-GARCH model.

Abstract

This paper selects the daily return data of CSI 300 index from January 2, 2014 to September 30, 2020 to study the characteristics of CSI 300 index return volatility. An ARMA(3,3) model was fitted to the daily log returns of the CSI 300 index using R software, and the ARCH effect was found to exist. The returns were then fitted with an ARMA(3,3)-GARCH(1,1) model, the model fitting effect was tested, and finally the short-term returns of the CSI 300 index were predicted. The results of the empirical analysis show that the CSI 300 index return series has characteristics such as non-normal distributivity, spikes and thick tails, and aggregation.

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