An Empirical Study on Stock Returns of Chemical Industry Based on ARMA-GARCH Model--The Case of NIKKE Chemicals

Abstract

This paper uses the ARMA-GARCH model to make predictions on the volatility of stock returns in China, selects the time series of daily returns of the representative enterprise of the chemical industry, NIKKE CHEMICAL, as the object of study, analyzes the stock returns of the enterprise over the past 6 years, and uses the ARMA model to make predictions of stock returns, and at the same time, joins the effect of volatility, and models the risk rate by using the GARCH model, and empirical evidence The results show that the chosen ARMA-GARCH model has a good fit to the time series of daily returns. This paper examines stock prices and analyses them by constructing a theoretical model that can provide advice for investment decisions in the stock market.