Economics, Econometrics and Finance
3 years ago

NAR-GARCH Model Accurately Predicts Stock Market Movements for Global Indices

PLoS ONE
A network autoregressive model with GARCH effects and its applications
Shih‐Feng Huang, Hsin‐Han Chiang, Yujun. Lin

Paper Summary

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A model called NAR-GARCH was created to understand how stock market indices move. It uses a special filter to remove certain effects and looks at how different indices affect each other. The model was tested on 20 stock indices from 2006 to 2020 and did a good job at predicting their movements, especially when the market was going up or down a lot.