• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Tassawan Aramsoontornsuk
Forecasting Risks and Returns for Stock Portfolio of Biotechnology Companies
Ichkitidze Yurij Rolandovich
Finance
(Master’s programme)
2019
The objective of this paper is to estimate volatility and forecast the daily returns of stock using the autoregressive integrated moving average (ARIMA) model and the generalized autoregressive conditional heteroscedasticity (GARCH) model for the time series of the NASDAQ Biotechnology Stock Index (NBI) using the daily close price from the period of January 2013 to December 2017, which is an accounting for 1,258 observations.

This study is divided into four sections. The first section is to study of movement of NBI index returns. The second part is to specify the ARIMA model for explanation the data and select the model that has the lowest AIC and BIC value. The third part is to identify the GARCH model fitting for the data also selecting by the lowest AIC and BIC value. The last is to forecast stock price and estimate the volatility.

It is found the appropriate model for estimation volatility and forecasting the close price of the NASDAQ Biotechnology stock Index (NBI) is ARIMA(5,1,4), which derived from the comparison of the lowest RMSE and the lowest MAPE equaling to 30.92450 and 0.697796 respectively. Therefore, the daily price from the forecasting the price of NBI and the variance estimation using this ARIMA(5,1,4) model between the period of January 1, 2018 to January 12, 2018 are $3,367.09, $3,369.34, $3.366.81, $3,361.53, $3,355.61, $3,361.64, $3,360.58, $3,360.57, and $3,352.98. The daily volatility of this forecasting model are 45.74, 45.84, 45.89, 45.94, 45.94, 46.05, 46.19, 46.66, 46.54, and 46.54. It is also found at the confident level of 1% the VaR form the estimation using the ARIMA(5,1,4) model between the period of January 1, 2018 to January 12, 2018 are -$132.24, $132.23, -$132.21, -$132.19, -$132.17, -$132.15, -$132.13, -$132.12, -$132.10, and $132.08.



Keyword: ARIMA model, GARCH model, Biotechnology stock, NBI, Forecasting model, Time series

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses