THE EVOLUTION OF SNP PETROM STOCK LIST - STUDY THROUGH AUTOREGRESSIVE MODELS

Marian Zaharia, Ioana Zaheu and Elena Roxana Stan
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Ioana Zaheu: Romanian American University
Elena Roxana Stan: Romanian American University

Romanian Economic Business Review, 2008, vol. 3, issue 3, 48-58

Abstract: Stock exchange market is one of the most dynamic and unpredictable markets. In this context, this work intends to analyze the SNP Petrom shares on the REGS market, based on the chronological series. The economic series are often not stationary, but they can be stationarized by different data transformations. The simplest method used for stationarizing a series is to apply differentiating operators of various classes on the series. After applying this operator, a stationary series that can be modified by an ARIMA (p.q) process is usually obtained. Most time series with economic content include a seasonal component besides the trend and random component. The purpose of this work is to estimate the parameters of an ARIMA (p,d,q) model for SNP Petrom shares, where p is the number of autoregressive terms, d is the integration level of the series (how many times the series must be differentiated in order to become stationary) and q is the number of moving average terms (MA).

Keywords: list; economic series; autoregressive models (search for similar items in EconPapers)
Date: 2008
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