Forecasting and Analysis of CSI 300 Daily Index and S&P 500 Index Based on ARMA and GARCH Models

Ningyi Li, Chennan Ju, Dexiang Su +2

In this paper, the ARMA(0,6)-GARCH(1,1) and ARMA(2,6)-eGARCH(1,1) models are constructed by applying ARMA and GARCH models to daily data of the CSI 300 and S&P 500 indices from 201…