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)