time series models like garch  (Nonlinear Dynamics)

Journal: PeerJ Computer Science

Article Title: Novel grey wolf optimizer based parameters selection for GARCH and ARIMA models for stock price prediction

doi: 10.7717/peerj-cs.1735

Figure Lengend Snippet: Results comparison.

Article Snippet: Infosys GWO-GARCH model RMSE score is 0.23%, MSE score 0.24% and MAE score is 0.27%.

Techniques: Comparison

Journal: Technological Forecasting and Social Change

Article Title: US biopharmaceutical companies' stock market reaction to the COVID-19 pandemic. Understanding the concept of the ‘paradoxical spiral’ from a sustainability perspective

doi: 10.1016/j.techfore.2021.121365

Figure Lengend Snippet: GARCH estimation results pre-COVID period.

Article Snippet: A GARCH (1,1) model ( ) was used to test the returns and volatility behaviour of Pfizer and Moderna: (2) y t = x t β + ∈ t (3) σ t 2 = γ 0 + γ 1 ∈ t − 1 2 + γ 2 ∈ t − 2 2 + ... + γ m ∈ t − m 2 + δ 1 σ t − 1 2 + δ 2 σ t − 2 2 + ... + δ k σ t − k 2 where y t is the conditional mean; σ t 2 is the conditional variance; ∈ t 2 is the squared residuals; γ i are the ARCH parameters; and δ i are the GARCH parameters.

Techniques:

Journal: Technological Forecasting and Social Change

Article Title: US biopharmaceutical companies' stock market reaction to the COVID-19 pandemic. Understanding the concept of the ‘paradoxical spiral’ from a sustainability perspective

doi: 10.1016/j.techfore.2021.121365

Figure Lengend Snippet: GARCH estimation results COVID period.

Article Snippet: A GARCH (1,1) model ( ) was used to test the returns and volatility behaviour of Pfizer and Moderna: (2) y t = x t β + ∈ t (3) σ t 2 = γ 0 + γ 1 ∈ t − 1 2 + γ 2 ∈ t − 2 2 + ... + γ m ∈ t − m 2 + δ 1 σ t − 1 2 + δ 2 σ t − 2 2 + ... + δ k σ t − k 2 where y t is the conditional mean; σ t 2 is the conditional variance; ∈ t 2 is the squared residuals; γ i are the ARCH parameters; and δ i are the GARCH parameters.

Techniques: