Analysis using GARCH and ARIMA reveals volatility trends in emerging-market stocks, suggesting investment decisions require careful consideration of risk.
The goal of this paper is to forecast the return and volatility of specific emerging-market stock market returns. We gather adjusted daily closing prices covering the COVID-19 pandemic and RUSSO-Ukraine evasion, from December 31, 2019, to December 31, 2023. Standardised generalised autoregressive conditional heteroscedasticity (GARCH) models and autoregressive integrated moving averages (ARIMA) are used for empirical results. In terms of ARIMA, it shows that only 5 of the 11 countries have predictable stock returns when different autoregressive and moving average orders are followed. With reference to GARCH, it is discovered that every stock market records new information and experiences persistent volatility. It also shows that, in comparison, the volatility of the Chinese stock market is declining quickly. In order to help investors, portfolio managers, and stock market analysts make investment decisions based on expected return and risk, this paper provides insights.
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Talha et al. (2025) studied this question.
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