Forecast of Belex15 and Belexline movement using ARIMA model

Article Sidebar

PDF
Published Jul 12, 2022
DOI https://doi.org/10.28934/ea.22.55.1.pp90-104

Main Article Content

Aleksandra Živković
PhD Student, University of Novi Sad, Faculty of Economics, Subotica, Serbia

Abstract

Financial markets are known to be volatile and often unpredictable. Movement of stock indices values and stock prices over time can be labelled with big oscillations during time, so financial institutions and other investors are constantly working on forecasting these movements, in order to adjust their business decisions and increase their profit. Aim of this research is to determine whether ARIMA model, which is often used for short-term forecast, is suitable for forecasting of Belgrade Stock Exchange indices movement. Subject of this research are Belex15 and Belexline indices and based on daily data from 5th January 2009 until 31st March 2022, ARIMA model was used to forecast indice values for following 11 trading days (from 1st April until 15th April 2022). Methodology of this research contains of presenting and analysing empirical data of Belex15 and Belexline movements, choosing suitable ARIMA model for forecast and forecasting indice values, which were later compared with real indice values. Obtained results point to high accuracy of forecasted values and lead to the conclusion that ARIMA model is corresponding econometric method for short-term forecast of Belgrade Stock Exchange indices.

Article Details

Issue
Vol 55 No 1 (2022): Economic Analysis: Applied Research in Emerging Markets
Section
Articles
Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Once the manuscript is accepted for publication, authors shall transfer the copyright to the publisher. If the submitted manuscript is not accepted for printing by the journal, the authors shall retain all their rights. The following rights on the manuscript are transferred to the publisher, including any supplementary materials and any parts, extracts or elements of the manuscript:

  • the right to reproduce and distribute the manuscript in printed form, including print-on-demand;
  • the right to print prepublications, reprints and special editions of the manuscript;
  • the right to translate the manuscript into other languages;
  • the right to reproduce the manuscript using photomechanical or similar means including, but not limited to photocopy, and the right to distribute these copies;
  • the right to reproduce and distribute the manuscript electronically or optically using and all data carriers or storage media, and especially in machine readable/digitalized form on data carriers such as hard drive, CD-ROM, DVD, Blu-ray Disc (BD), Mini Disc, data tapes, and the right to reproduce and distribute the article via these data carriers;
  • the right to store the manuscript in databases, including online databases, as well as the right to transmit the manuscript in all technical systems and modes;
  • the right to make the manuscript available to the public or to closed user groups on individual demand, for use on monitors or other readers (including e-books), and in printable form for the user, either via the Internet, online service, or via internal or external networks.

Authors reserve the copyright to published articles and have the right to use the article in the same manner like third parties in accordance with the licence Attribution-Non-Commercial-Non-Derivate 4.0 International (CC BY). Thereby they must quote the basic bibliographic data of the source article published in the journal (authors, article title, journal title, volume, pagination).