23rd Annual Student Research Conference
The Impact of the Recent Global Recession on the Prediction of Stock Returns
Matthew F. Macari
Dr. Scott Alberts, Faculty Mentor
In the 1980s, the autoregressive conditional heteroscendasicity (ARCH) model was developed to reflect facts about financial time series that other models could not. Since the start of the recent global recession, concerns have been raised about the effectiveness of the ARCH model and its effectiveness to predict sudden changes in the volatility of stock returns. This talk will focus on the effectiveness of the ARCH parameter estimation techniques. Using data gathered from five technology firms, I will show how the ARCH model was still effective in predicting the companies stock returns even during the recession. Finally, I will discuss how the recession changed the stability of the estimated parameters for those five companies.
Keywords: econometric models, time series, 2008 financial crisis, ARCH parameter estimation
Topic(s):Statistics
Mathematics
Economics
Presentation Type: Oral Paper
Session: 17-2
Location: MG 1098
Time: 9:45