FORCASTING TEHRAN EXCHANGE PRICE INDEX USING LINEAR AND NONLINEAR MODELS

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MOSHIRI S.; MOROVAT H.

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Paper Information

Journal: Iranian Journal of Trade Studies Year:2007 | Volume:11 | Issue:41 Page(s): 245-275

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Information Journal Paper

Title

FORCASTING TEHRAN EXCHANGE PRICE INDEX USING LINEAR AND NONLINEAR MODELS

Author(s)

MOSHIRI S. | MOROVAT H. | Issue Writer Certificate

Keywords

TEPIXQ3

FORECASTINGQ3

NONLINEAR MODELSQ2

ARIMAQ3

GARCHQ3

ANNQ3

Abstract

Stock prices are among the most complex economic variables that are hard to predict. They are very sensitive to many social, political and economic changes and subject to wide and dramatic fluctuations. In this paper, we have used a set of linear and NONLINEAR MODELS to forecast daily and weekly Tehran Exchange Price Index (TEPIX) using data in period 1377-1382 (1998-2003). The models are ARIMA, GARCH, ARFIMA, and ANN. Our dynamic FORECASTING results evaluated by RMSE, MAE, and U-Thiel indicate that the ANN model outperforms the other models. The Diebold-Mariano test results, however, show that the differences are not significant.

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APA: Copy

MOSHIRI, S., & MOROVAT, H.. (2007). FORCASTING TEHRAN EXCHANGE PRICE INDEX USING LINEAR AND NONLINEAR MODELS. IRANIAN JOURNAL OF TRADE STUDIES (IJTS), 11(41), 245-275. SID. https://sid.ir/paper/7442/en

Vancouver: Copy

MOSHIRI S., MOROVAT H.. FORCASTING TEHRAN EXCHANGE PRICE INDEX USING LINEAR AND NONLINEAR MODELS. IRANIAN JOURNAL OF TRADE STUDIES (IJTS)[Internet]. 2007;11(41):245-275. Available from: https://sid.ir/paper/7442/en

IEEE: Copy

S. MOSHIRI, and H. MOROVAT, “FORCASTING TEHRAN EXCHANGE PRICE INDEX USING LINEAR AND NONLINEAR MODELS,” IRANIAN JOURNAL OF TRADE STUDIES (IJTS), vol. 11, no. 41, pp. 245–275, 2007, [Online]. Available: https://sid.ir/paper/7442/en

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