Jia-Quan Wang

Analysis and Forecasting of FTSE 100 Return Volatility Using an ARMA-GARCH Model

This paper investigates whether a relatively simple ARMA-GARCH specification is useful for modelling and forecasting daily FTSE 100 returns. Closing prices from 31 May 2023 to 28 August 2026 generate 823 percentage log returns. Of these, 758 observations are used for estimation and the final 65 trading days are kept as...