Topic forecast future share price levels

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Topic forecast future share price levels

The daily closing prices data for FTSE and DowJones values for American and British American is obtained from yahoo finance. The logarithm of the relative prices over the period from 2001 to 2010 is multiplied by 100 in the case of FTSE to calculate continuously compounded daily stock returns using GARCH mathematical model. Logarithm prices have been used to prevent nonstationarity on the level of stock prices as well as stock returns volatility To effectively use FTSE and DJ respectively to predict the future share prices individually and together to predict future American and British share price levels. It will be important to examine the distributional properties of the daily stock price index change individually for FTSE and DJ.