ARCH modeling: forecasting the return in the UK stock market

ARCH modeling: forecasting the return in the UK stock market Dissertation example
Finance & Accounting
Pages 42 (10542 words)
Download 0
ARCH modeling: forecasting the return in the UK stock market TABLE OF CONTENTS Introduction 4 Literature Review 8 Methodology Review 34 Empirical Results 37 Conclusion 45 Bibliography 48 Abstract Empirical researches have proved the predictive ability of ARCH models in forecasting equity return volatility…


On the other hand, the index helps ARCH models to bring forth exact forecasts for out-of-sample forecasting on considering performance measures. This study would help to develop an investing strategy based on the results that would bring about significant positive returns. Keywords: ARCH Models, Stock index volatility, Predictive ability, ARCH modeling: forecasting the return in the UK stock market Introduction There have been quite a number of studies which show that different parameters of ARCH models offer good estimates of equity returns. The compatibility of ARCH models are evident in Bollerslave, Engle and Nelson (1994), Glosten, Jegannathan and Runkle (1993) and Bevan, Ser-Huang and Stephen (2000). However, many studies, including Akgiray (1989), Franses and Van Dijk (1995) Figlewski (1997), have come up with mixed results on the predictive ability of ARCH models in the equity return volatility. Avoiding out-of-sample forecasting, in-sample predictive ability can be proved by data probing (Dimson and Marsh 1990). Except for the out-of -sample forecasting, theoretical methods in ARCH models show accurate results in high frequencies. Nelson and Foster (1995) have, further, developed conditions that enabled ARCH models to improve predictive abilities for the long term forecasting. For the purposes of economic statistics and econometric calculations a wide range of tools and theories are available. ...
Download paper
Not exactly what you need?

Related papers

Stock Market Efficiency: Is the UK Capital Market Really Efficient?
The aims and objectives of the research elucidate and make specific the means of the exploration and analysis. In fact, the methodologies used in following the line of investigation was the primary sources that include personal observations of the researcher, telephonic and personal interviews with influential capital marketplace personals, company managers, several brokers; and secondary sources…
33 pages (8283 words)
Stock market efficiency
profits over and above the profits made by the other players in the market by using this information. The hypothesis deals with two of the fundamental questions in finance. The first of them is why there is price change in the market for securities while the second considers how the change actually occurs. Investors involve themselves in identifying the securities that are expected to witness an…
13 pages (3263 words)
Monetary Policy and the Stock Market: Empirical Evidence from the UK
1. INTRODUCTION: 1.1. Overview and Background of the Research Study: Different research studies have been conducted in order to identify and explore the relationship between the monetary policy and stock market. The central bank has always been under pressure to come up with appropriate monetary policy in order to regulate inflation and output gap in the economy. It is important to explore and…
26 pages (6526 words)
Stock Market Efficiency
One of the most famous and talked about theories in this regard is of Efficient Market Hypothesis. Because information is available to all the investors who are currently in the stock market therefore everyone would be able to predict the price of the stock and how these prices would vary in future as well. As everyone will be having information therefore there would be no advantage to any…
6 pages (1506 words)
How to Make 1000 pounds a profitable Investment in UK Stock Market
b. Acting on rumours knowing that it is in fact a rumour. c. Buying Dividends for long-term investment in stock market. It is a stable and less risky way of earning profit. d. Opening an account with a broker. e. Investing in Penny stock to earn profit. Method 1 Basic Plan: The first method is to look for companies that have undervalued ratings. This method does have it perks considering that…
15 pages (3765 words)
Stock Market
The essay covers how the investor should invest the above amount, what reasons the investor has for choosing the stocks and the manner of investment. Also included in this essay is the detailed but precise analysis of the stock selected by the investor. The essay present analysis of the company whose stock has been purchased by looking at the historic performance of the company based on stock…
2 pages (502 words)
market rate of return
If it is observed that the returns are consistently below the SML line, it will mean that the stock is expected to rise, while if the returns are seen to be consistently above the line, then it will mean that the stock is due for a drop. Graphing the SML for a particular stock requires a stock with a beta that is higher than 1 and this usually outperforms the market, while a beta that is less than…
3 pages (753 words)