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- Thu Mar 01, 2012 2:25 am
- Forum: Econometric Discussions
- Topic: Can GARCH(1,1) predict the stock price? Suggestions?
- Replies: 0
- Views: 1768
Can GARCH(1,1) predict the stock price? Suggestions?
Hi guys, Please help me to figure out. I learned the ARMA and Arch, GARCH model in class. I am just curious whether the model is working or the methodology makes sense. I estimate the equation as "log(adj_close) c log(adj_close(-1))" due to non-stationary series 'adj_close'. My data is adj...