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Predicting The Evolution Of Bet Index, Using An Arima Model

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  • Florin Dan Pieleanu

    (School of Cybernetics, Statistics and Economic Informatics, Academy of Economic Studies, Bucharest, Romania)

Abstract

Trying to predict the future price of certain stocks, securities or indexes is quite a common goal, being motivated by different reasons and being based on various techniques. The present article has the same purpose, employing an ARIMA model, due to its proven effectiveness and success. Used data is comprised of monthly values for the mentioned index, on a four-year period, from 2010 to 2014, which lead to 60 recordings. The main steps for the analysis are identifying the model, estimating the parameters and the prediction itself. After each one of them is carefully conducted, a comparison is made: the predicted values for BET versus the real values for BET, in order to see if any resemblances exists, or if the differences are significant. Those resemblances or differences are explained, while the conclusion will highlight ARIMA’s capacity or incapacity of forecasting in an accurate way, in the presented context.

Suggested Citation

  • Florin Dan Pieleanu, 2016. "Predicting The Evolution Of Bet Index, Using An Arima Model," Romanian Economic Business Review, Romanian-American University, vol. 10(1), pages 151-162, May.
    • Handle: RePEc:rau:journl:v:10:y:2016:i:1:p:151-162
    as

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    File URL: http://www.rebe.rau.ro/RePEc/rau/jisomg/SU16/JISOM-SU16-A15.pdf
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    References listed on IDEAS

    as
    1. Prybutok, Victor R. & Yi, Junsub & Mitchell, David, 2000. "Comparison of neural network models with ARIMA and regression models for prediction of Houston's daily maximum ozone concentrations," European Journal of Operational Research, Elsevier, vol. 122(1), pages 31-40, April.
    2. Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
    3. Florin Dan PIELEANU, 2016. "Comparative Study In Estimating Volkswagen’S Price: Arima Versus Ann," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(2), pages 98-109, February.
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