Forecasting Selected Colombian Shares Using a Hybrid ARIMA-SVR Model

Lihki Rubio and Keyla Alba
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Lihki Rubio: Department of Mathematics and Statistics, Universidad del Norte, Barranquilla 080001, Colombia
Keyla Alba: Department of Mathematics and Statistics, Universidad del Norte, Barranquilla 080001, Colombia

Mathematics, 2022, vol. 10, issue 13, 1-21

Abstract: Forecasting future values of Colombian companies traded on the New York Stock Exchange is a daily challenge for investors, due to these stocks’ high volatility. There are several forecasting models for forecasting time series data, such as the autoregressive integrated moving average (ARIMA) model, which has been considered the most-used regression model in time series prediction for the last four decades, although the ARIMA model cannot estimate non-linear regression behavior caused by high volatility in the time series. In addition, the support vector regression (SVR) model is a pioneering machine learning approach for solving nonlinear regression estimation procedures. For this reason, this paper proposes using a hybrid model benefiting from ARIMA and support vector regression (SVR) models to forecast daily and cumulative returns of selected Colombian companies. For testing purposes, close prices of Bancolombia, Ecopetrol, Tecnoglass, and Grupo Aval were used; these are relevant Colombian organizations quoted on the New York Stock Exchange (NYSE).

Keywords: hybrid model; ARIMA; support vector regression (SVR); forecasting; time series analysis; daily returns; cumulative returns (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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