ARIMA-TGARCH Modeling Analysis of Tesla Stock Data

DOI: https://doi.org/10.62517/jse.202411407

Author(s)

Yuliang Han

Affiliation(s)

Wuhan Britain-China School, Wuhan, China

Abstract

This paper employs the ARMI-TGARCH model to analyse Tesla stock data. Firstly, the correlation of the data is examined to validate the necessity of data analysis. Subsequently, the ARIMA model is utilized for parameter estimation and analysis. The presence of heteroscedasticity is preliminarily identified through an analysis of residual sequences and their squared values. The need for modelling heteroscedasticity is confirmed via PQ and LM tests. Finally, parameters are estimated using the TGARCH(1,1) model, and the validity of the model is verified through interval estimation of the data. The methodology employed in this paper demonstrates scientific rigor and effectiveness.

Keywords

ARIMA Model, GARCH Model, TGARCH Model, ADF Test, Heteroscedasticity

References

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