ARIMA-GARCH AND STATE SPACE MODELS’ FORECASTING POWER CASE STUDY: TEHRAN EXCHANGE STOCK INDEX (TEPIX)

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GHAFARI FARHAD; FARHADI CHESHMEH MARVARI AGHIGH

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Paper Information

Journal: IRANIAN JOURNAL OF APPLIED ECONOMICS Year:2015 | Volume:5 | Issue:- Page(s): 33-42

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Information Journal Paper

Title

ARIMA-GARCH AND STATE SPACE MODELS’ FORECASTING POWER CASE STUDY: TEHRAN EXCHANGE STOCK INDEX (TEPIX)

Author(s)

GHAFARI FARHAD | FARHADI CHESHMEH MARVARI AGHIGH | Issue Writer Certificate

Keywords

ARIMAQ2

ARCHQ3

STATE SPACEQ2

MONTE CARLOQ3

FORECASTING ACCURACYQ2

Abstract

The main objective of this paper is to compare the accuracy of ARIMA, GARCH, ARIMA-GARCH and STATE SPACE models in estimating and forecasting the Tehran Exchange Stock Index (TEPIX). For this purpose, daily data from 21st of January 2011 to 19th February 2014 (corresponding to Iranian calendar: from first of Bahman 1389 to 30th of Bahman 1392) as out -of- sample and daily data from 20th of February 2014 to 19th May 2015 (corresponding to Iranian calendar: from first of Esfand 1392 to 30th of Ordibehesht 1393) as in- sample have been used. On the other hand, for more consideration and for boosting the accuracy of the mentioned models’ forecasting the TEPIX in the long run, simulation has been done using the MONTE CARLO Method for two periods of time. These include the medium run and the short run, using out- of- sample and using in- sample for a general comparison. Next, the accuracy of the forecasts have been evaluated by calculating the Root Mean Square Errors (RMSE). According to the out- of- sample, the results indicate that the GARCH model has more accuracy of forecasting rather than the other models in the three periods of time (long run, medium run and short run), and compared with in-sample, the ARIMA model is a more sufficient model.

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APA: Copy

GHAFARI, FARHAD, & FARHADI CHESHMEH MARVARI, AGHIGH. (2015). ARIMA-GARCH AND STATE SPACE MODELS’ FORECASTING POWER CASE STUDY: TEHRAN EXCHANGE STOCK INDEX (TEPIX). IRANIAN JOURNAL OF APPLIED ECONOMICS, 5(-), 33-42. SID. https://sid.ir/paper/202056/en

Vancouver: Copy

GHAFARI FARHAD, FARHADI CHESHMEH MARVARI AGHIGH. ARIMA-GARCH AND STATE SPACE MODELS’ FORECASTING POWER CASE STUDY: TEHRAN EXCHANGE STOCK INDEX (TEPIX). IRANIAN JOURNAL OF APPLIED ECONOMICS[Internet]. 2015;5(-):33-42. Available from: https://sid.ir/paper/202056/en

IEEE: Copy

FARHAD GHAFARI, and AGHIGH FARHADI CHESHMEH MARVARI, “ARIMA-GARCH AND STATE SPACE MODELS’ FORECASTING POWER CASE STUDY: TEHRAN EXCHANGE STOCK INDEX (TEPIX),” IRANIAN JOURNAL OF APPLIED ECONOMICS, vol. 5, no. -, pp. 33–42, 2015, [Online]. Available: https://sid.ir/paper/202056/en

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