In this statistical project we study the properties of the financial series of the SP500 index since 1980. We perform a statistical analysis of the properties of the series:
- Descriptive statistics
- Stationarity
- Normality
- Autocorrelation
- Financial interpretation of properties
We explore different modeling approaches:
- Exponential smoothing and moving average smoothing
- ARIMA model
- ARCH and GARCH volatility model
- Combination of ARIMA and ARCH models
The details of the work can be found in the report and the notebook