Application of ARIMA-GARCH Model in Venture Capital Market Prediction
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DOI: 10.23977/csic2022.028
Author(s)
Jicheng Wang, Xiaolong Hu
Corresponding Author
Jicheng Wang
ABSTRACT
This paper discusses the autoregressive integrated moving average (ARIMA) model, generalized autoregressive conditional heteroscedasticity (GARCH) model, and their application in risk asset market forecasting. Specifically, we investigated variance error using the GARCH model. In addition, we use ARIMA model to forecast future price trends. Finally, we investigate optimizing risk-return trade-offs in diversified portfolios using modern portfolio theory (MPT).
KEYWORDS
Autoregressive integrated moving average (ARIMA) model, generalized autoregressive conditional heteroscedasticity (GARCH) model, modern portfolio theory (MPT)