Forecasting of global market prices of major financial instruments
type: Item
instance of: scholarly article
title: Forecasting of global market prices of major financial instruments
zbMATH Open document ID: 1450.62132
DOI: 10.1155/2020/1258463
author: Roshani W. Divisekara
author: Ruwan D. Nawarathna
author: Lakshika S. Nawarathna
published in: Journal of Probability and Statistics
publication date: 2020-10-14T00:00:00Z
review text: Summary: One of the easiest and fastest ways of building a healthy financial future is investing in the global market. However, the prices of the global market are highly volatile due to the impact of economic crises. Therefore, future prediction and comparison lead traders to make the low-risk decisions with price. The present study is based on time series modelling to forecast the daily close price values of financial instruments in the global market. The forecasting models were tested with two sample sizes, namely, 5-year close price values for correlation analysis and 3-year close price values for model building from 2013 January to 2018 January. The forecasting capabilities were compared for both ARIMA and GARCH class models, namely, TGARCH, APARCH, and EGARCH. The best-fitting model was selected based on the minimum value of the Akaike information criterion (AIC) and Bayesian information criteria (BIC). Finally, the comparison was carried out between ARIMA and GARCH class models using the measurement of forecast errors, based on the Root Mean Square Deviation (RMSE), Mean Absolute Error (MAE), and Mean absolute percentage error (MAPE). The GARCH model was the best-fitted model for Australian Dollar, Feeder cattle, and Coffee. The APARCH model provides the best out-of-sample performance for Corn and Crude Oil. EGARCH and TGARCH were the better-fitted models for Gold and Treasury bond, respectively. GARCH class models were selected as the better models for forecasting than the ARIMA model for daily close price values in global financial market instruments.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62B10
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 7261036
zbMATH Keywords: forecasting
zbMATH Keywords: Akaike information criterion (AIC)
zbMATH Keywords: Bayesian information criteria (BIC)
describes a project that uses: FinTS
describes a project that uses: R
describes a project that uses: JMulTi
describes a project that uses: astsa
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1155/2020/1258463
OpenAlex ID: W3085128647
cites work: Q5210847
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description: scientific article; zbMATH DE number 7261036