Modeling Analysis of Vanke Enterprise Daily Profitability

Yifan Chen ()
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Yifan Chen: China Agricultural University, International College

A chapter in Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), 2022, pp 1712-1722 from Springer

Abstract: Abstract In this paper, the stock price and return rate of Vanke Group are modeled by GARCH model, and the fitting effects of GARCH model, EGARCH model and ARMA-EGARCH model are used and compared respectively. Through the comparison of AIC criteria, ARMA-EGARCH model is selected, and serves as the final model to explain the stock price of Vanke Group. After comparing the AIC criteria and selecting the model, the selected model was tested for the residual term and the residual square term, and the QQ plot of the standardized residual was drawn for comparison, and the model fitting was finally determined. Finally, after comparing the predicted value with the predicted confidence interval and the true value, it is concluded that ARMA-EGARCH model not only has a better interpretation effect, but also has a better prediction ability.

Keywords: GARCH-like Model; Vanke Group; Model Fitting; Model Selection (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-036-7_256

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DOI: 10.2991/978-94-6463-036-7_256

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