FORECASTING OF TEHRAN SECURITIES PRICE INDEX USING ARFLMA MODEL

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ERFANI A.R.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2009 | Volume:44 | Issue:86 Page(s): 163-180

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Title

FORECASTING OF TEHRAN SECURITIES PRICE INDEX USING ARFLMA MODEL

Author(s)

ERFANI A.R. | Issue Writer Certificate

Keywords

LONG MEMORYQ3

RESEALED RANGE ANALYSISQ3

MODIFIED RESEALED RANGE ANALYSISQ3

ARFIMA MODELQ3

ARIMA MODELQ2

Abstract

In this paper we investigate the LONG MEMORY of Tehran Securities Price Index and fit ARFIMA MODEL using 970 daily data since 1382/1/6 until 1386/4/17. Furthermore, we compare the forecasting performance of ARFIMA and ARIMA MODELs. The results show that the series is a LONG MEMORY one and therefore it can become stationary by fractional differencing. We obtaine the fractional differencing parameter d=0.4767.Having done the fractional differencing and determination of the number of lags of autoregressive and moving average components, the model is specified as ARFlMA (2, 0.4767, 18). We estimate the parameters of the model using 900 in-sample data and use this estimates for forecasting 70 out-sample data. Comparing forecasting performance of two models illustrate that forecasting performance of ARFIMA MODEL is better than ARIMA MODEL.

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APA: Copy

ERFANI, A.R.. (2009). FORECASTING OF TEHRAN SECURITIES PRICE INDEX USING ARFLMA MODEL. TAHGHIGHAT-E-EGHTESADI, 44(86), 163-180. SID. https://sid.ir/paper/11932/en

Vancouver: Copy

ERFANI A.R.. FORECASTING OF TEHRAN SECURITIES PRICE INDEX USING ARFLMA MODEL. TAHGHIGHAT-E-EGHTESADI[Internet]. 2009;44(86):163-180. Available from: https://sid.ir/paper/11932/en

IEEE: Copy

A.R. ERFANI, “FORECASTING OF TEHRAN SECURITIES PRICE INDEX USING ARFLMA MODEL,” TAHGHIGHAT-E-EGHTESADI, vol. 44, no. 86, pp. 163–180, 2009, [Online]. Available: https://sid.ir/paper/11932/en

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