PREDICTING THE EVOLUTION OF BET INDEX, USING AN ARIMA MODEL

Florin Dan Pieleanu ()
Additional contact information
Florin Dan Pieleanu: School of Cybernetics, Statistics and Economic Informatics, Academy of Economic Studies, Bucharest, Romania

Journal of Information Systems & Operations Management, 2016, vol. 10, issue 1, 151-162

Abstract: Trying to predict the future price of certain stocks, securities or indexes is quite a common goal, being motivated by different reasons and being based on various techniques. The present article has the same purpose, employing an ARIMA model, due to its proven effectiveness and success. Used data is comprised of monthly values for the mentioned index, on a four-year period, from 2010 to 2014, which lead to 60 recordings. The main steps for the analysis are identifying the model, estimating the parameters and the prediction itself. After each one of them is carefully conducted, a comparison is made: the predicted values for BET versus the real values for BET, in order to see if any resemblances exists, or if the differences are significant. Those resemblances or differences are explained, while the conclusion will highlight ARIMA’s capacity or incapacity of forecasting in an accurate way, in the presented context.

Date: 2016
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rebe.rau.ro/RePEc/rau/jisomg/SU16/JISOM-SU16-A15.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rau:jisomg:v:10:y:2016:i:1:p:151-162

Access Statistics for this article

More articles in Journal of Information Systems & Operations Management from Romanian-American University Contact information at EDIRC.
Bibliographic data for series maintained by Alex Tabusca ().