Development of nonlinear stochastic models by using stock price data and basic statistics

We employ the classical model building process to develop nonlinear stochastic models for stock market. In this work, three different nonlinear stochastic models are presented. Furthermore, under different data partitioning with equal and unequal intervals, a few modified nonlinear models are developed. Empirical comparisons between the constructed models and GBM (linear) models are also outlined.