FORECASTING RETURN OF PETROCHEMICAL INDUSTRY INDEX IN TEHRAN STOCK MARKET USING ARIMA AND ARFIMA MODELS

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ESHRAGHI MOHSEN; GHAFFARI FARHAD; MOHAMMADI TEIMUR

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Journal: IRANIAN JOURNAL OF APPLIED ECONOMICS Year:2017 | Volume:6 | Issue:- Page(s): 15-26

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Title

FORECASTING RETURN OF PETROCHEMICAL INDUSTRY INDEX IN TEHRAN STOCK MARKET USING ARIMA AND ARFIMA MODELS

Author(s)

ESHRAGHI MOHSEN | GHAFFARI FARHAD | MOHAMMADI TEIMUR | Issue Writer Certificate

Keywords

FORECASTINGQ2

AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGEQ1

AUTOREGRESSIVE INTEGRATED MOVING AVERAGEQ1

PETROCHEMICAL INDUSTRYQ2

Abstract

FORECASTING economic variables is one of particular importance in economic issues and various models are created to predict future values of variables. One of the most important functions of economic models is to predict future values of economic variables. In fact, economic models can be tested by examining the prediction accuracy. In this case, if an economic model is successful in explaining the relationships between variables, it must provide accurate predictions of future variables. The main objective of this study is to predict the return of one of the most influential industries in the country, PETROCHEMICAL INDUSTRY. Statistical results prove the existence of long-term memory in return index of this industry, Then, It is used two of econometric models for FORECASTING including ARFIMA and ARIMA. ARFIMA model by considering long-term memory and ARIMA model regardless of long-term memory is considered. Evaluating of the prediction accuracy of the two proposed models with daily data of PETROCHEMICAL INDUSTRY index in Tehran Stock Market in the period of June/14/2005 to August/16/2015 showes ARFIMA model with little difference worked better than ARIMA model, but considering the problems of estimation of regression coefficients of ARFIMA model and simplicity of ARIMA model, this small difference is negligible and ARIMA models can be used to predict.

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APA: Copy

ESHRAGHI, MOHSEN, GHAFFARI, FARHAD, & MOHAMMADI, TEIMUR. (2017). FORECASTING RETURN OF PETROCHEMICAL INDUSTRY INDEX IN TEHRAN STOCK MARKET USING ARIMA AND ARFIMA MODELS. IRANIAN JOURNAL OF APPLIED ECONOMICS, 6(-), 15-26. SID. https://sid.ir/paper/201939/en

Vancouver: Copy

ESHRAGHI MOHSEN, GHAFFARI FARHAD, MOHAMMADI TEIMUR. FORECASTING RETURN OF PETROCHEMICAL INDUSTRY INDEX IN TEHRAN STOCK MARKET USING ARIMA AND ARFIMA MODELS. IRANIAN JOURNAL OF APPLIED ECONOMICS[Internet]. 2017;6(-):15-26. Available from: https://sid.ir/paper/201939/en

IEEE: Copy

MOHSEN ESHRAGHI, FARHAD GHAFFARI, and TEIMUR MOHAMMADI, “FORECASTING RETURN OF PETROCHEMICAL INDUSTRY INDEX IN TEHRAN STOCK MARKET USING ARIMA AND ARFIMA MODELS,” IRANIAN JOURNAL OF APPLIED ECONOMICS, vol. 6, no. -, pp. 15–26, 2017, [Online]. Available: https://sid.ir/paper/201939/en

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