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

Abstract

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 2018 to 2021, and the forecasts for the next 7 steps and the corresponding VaR and ES are calculated. After testing the sensitivity of the models, the two index stocks are compared and the corresponding conclusions are presented.