Modeling and forecasting the Dow Jones stock index with the EGARCH model
Keywords:
ARCH family, Dow Jones stock index, EGRCH modelAbstract
The investigation of forecasting the volatility of stock markets has attracted the interest of many researchers and has been the object of several applications. Forecasts are essential input to all types of service production systems because it enables investors to anticipate the future. Many forecasting methods are available to help investors for planning and to estimate future prices, but forecasting is not an exact science and the actual results usually differ. The objective of this paper is to analyze and estimate the Dow Jones stock index. In this paper, we present the ARCH family and examine the volatility of the Dow Jones stock index. In the empirical analysis, we estimate the Dow Jones stock index with EGARCH model until 2020.
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