Financial Time series Forecasting using Holt-Winters in H-step Ahead

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SHAHRIARI HAMID; AGHAIE ABDOLLAH; Nezhad Afrasiabi Maryam

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Paper Information

Journal: FINANCIAL RESEARCH Year:2016 | Volume:18 | Issue:3 Page(s): 505-518

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Information Journal Paper

Title

Financial Time series Forecasting using Holt-Winters in H-step Ahead

Author(s)

SHAHRIARI HAMID | AGHAIE ABDOLLAH | Nezhad Afrasiabi Maryam | Issue Writer Certificate

Keywords

Box-JenkinsQ2

Financial time seriesQ2

ForecastingQ2

Holt-WintersQ2

non-stationary time seriesQ2

Abstract

Up to now various methods have been used to predict stock prices and profits. According to financial volatility markets, the most important thing is which of the methods can be applied to predict the optimal decision to help managers and decision makers and business sectors. Most studies have been done up to now to predict the time series, autoregressive method known as Box-Jenkins has been used to predict the time series. While there are many time series with seasonal variations or cyclic which can not be adequately modeled by a polynomial. In this study, Holt-Winters method is used to predict non-stationary time series data for the profit sale of an intermediate product. The results show that the proposed method compared with classical methods and procedures S-filtered has a higher performance in Forecasting future values.

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APA: Copy

SHAHRIARI, HAMID, AGHAIE, ABDOLLAH, & Nezhad Afrasiabi, Maryam. (2016). Financial Time series Forecasting using Holt-Winters in H-step Ahead. FINANCIAL RESEARCH, 18(3 ), 505-518. SID. https://sid.ir/paper/91177/en

Vancouver: Copy

SHAHRIARI HAMID, AGHAIE ABDOLLAH, Nezhad Afrasiabi Maryam. Financial Time series Forecasting using Holt-Winters in H-step Ahead. FINANCIAL RESEARCH[Internet]. 2016;18(3 ):505-518. Available from: https://sid.ir/paper/91177/en

IEEE: Copy

HAMID SHAHRIARI, ABDOLLAH AGHAIE, and Maryam Nezhad Afrasiabi, “Financial Time series Forecasting using Holt-Winters in H-step Ahead,” FINANCIAL RESEARCH, vol. 18, no. 3 , pp. 505–518, 2016, [Online]. Available: https://sid.ir/paper/91177/en

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