EFFICIENCY COMPARED TO ARIMA AND ARFIMA MODELS FOR MODELING AND PREDICTION OF TEHRAN PRICE INDEX (TEPIX)

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SALARZEHI HABIBOLLAH; KASHI MANSOOR; HOSSEINI SEYED HASAN; DONYAEI MOHAMMAD

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Journal: INVESTMENT KNOWLEDGE Year:2012 | Volume:1 | Issue:2 Page(s): 63-80

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Information Journal Paper

Title

EFFICIENCY COMPARED TO ARIMA AND ARFIMA MODELS FOR MODELING AND PREDICTION OF TEHRAN PRICE INDEX (TEPIX)

Author(s)

SALARZEHI HABIBOLLAH | KASHI MANSOOR | HOSSEINI SEYED HASAN | DONYAEI MOHAMMAD | Issue Writer Certificate

Keywords

FORECASTQ2

RETURNQ2

AUTOREGRESSIVE INTEGRATED MOVING AVERAGEQ2

AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGEQ2

Abstract

This article examines the FORECAST performance of ARFIMA and ARIMA models using data on daily stock price index of Tehran in period 25/11/2001 to 30/11/2011. To estimate the d parameter and other parameters, the NLS method in the software package Oxmetric / pcgive was used. After comparing the results of research models, ARFIMA models based on AIC, the model was found superior in modeling TEPIX. Also we use naive methods for estimating the prediction. Comparing the accuracy of the prediction models by criteria such as MAPFE and RMSFE and confidence intervals of the real values, we can deduce that the first Performance difference between the predicted long-term memory ARFIMA model is very minor compared to the ARIMA model And Secondly, inefficient ARFIMA model in Tehran capital market FORECAST is quite evident.

Cites

LONG-TERM MEMORY AND LEVEL SHIFTS: APPLICATION OF THE MODIFIED GPH TEST IN TEHRAN STOCK EXCHANGE

References

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APA: Copy

SALARZEHI, HABIBOLLAH, KASHI, MANSOOR, HOSSEINI, SEYED HASAN, & DONYAEI, MOHAMMAD. (2012). EFFICIENCY COMPARED TO ARIMA AND ARFIMA MODELS FOR MODELING AND PREDICTION OF TEHRAN PRICE INDEX (TEPIX). INVESTMENT KNOWLEDGE, 1(2), 63-80. SID. https://sid.ir/paper/188132/en

Vancouver: Copy

SALARZEHI HABIBOLLAH, KASHI MANSOOR, HOSSEINI SEYED HASAN, DONYAEI MOHAMMAD. EFFICIENCY COMPARED TO ARIMA AND ARFIMA MODELS FOR MODELING AND PREDICTION OF TEHRAN PRICE INDEX (TEPIX). INVESTMENT KNOWLEDGE[Internet]. 2012;1(2):63-80. Available from: https://sid.ir/paper/188132/en

IEEE: Copy

HABIBOLLAH SALARZEHI, MANSOOR KASHI, SEYED HASAN HOSSEINI, and MOHAMMAD DONYAEI, “EFFICIENCY COMPARED TO ARIMA AND ARFIMA MODELS FOR MODELING AND PREDICTION OF TEHRAN PRICE INDEX (TEPIX),” INVESTMENT KNOWLEDGE, vol. 1, no. 2, pp. 63–80, 2012, [Online]. Available: https://sid.ir/paper/188132/en

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