ARIMA: An Applied Time Series Forecasting Model for the Bovespa Stock Index

• 作者: Edson de Oliveira Pamplona Fernando Luiz Riêra Salomon Paulo Rotela Junior
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: Forecasting ARIMA TIME SERIES MAPE Ibovespa
• 年，卷（期）: 2014,（21）
• 页码范围: 3383-3391
• 页数: 9页
• 分类号: R73

摘要

Due to the relative uncertainty involved with the variables which affect financial market behavior, forecasting future variations in a time series of the Brazilian stock market Index (Ibovespa) can be considered a difficult task. This article aims to evaluate the performance of the model ARIMA for time series forecasting of Ibovespa. The research method utilized was mathematical modeling and followed the Box-Jenkins method. In order to compare results with other smoothing models, the parameter of evaluation MAPE (Mean Absolute Percentage Error) was used. The results showed that the model utilized obtained lower MAPE values, thus indicating greater suitability. This therefore demonstrates that the ARIMA model can be used for time-series indices related to stock market index forecasting.