Effects of long term trend of KLSE on ARMA model

Voon, Francis Choon Ling (2010) Effects of long term trend of KLSE on ARMA model. Universiti Malaysia Sabah. (Unpublished)

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Abstract

The purpose of this study is to build a suitable ARMA model and to forecast the closing price of daily, weekly and monthly data for KLSE. The price of non trading days is included and estimated by taking the average. Then, it is transformed using lower differencing transformation. The data is then tested using Unit Root Test to ensure it is stationary, supported by the plot of ACF graph. Then, the stationary data will undergo global test, coefficient test and wald test to list out the selected model which then choosing best model using 8Se. The best model obtained is later used for forecasting with the reverse method and then tested for the MAPE.

Item Type: Academic Exercise
Uncontrolled Keywords: ARMA model, KLSE, Unit Root Test, forecast, closing price, reverse method
Subjects: Q Science > QA Mathematics
Divisions: SCHOOL > School of Science and Technology
Depositing User: Unnamed user with email storage.bpmlib@ums.edu.my
Date Deposited: 02 Jun 2016 01:53
Last Modified: 30 Oct 2017 03:12
URI: http://eprints.ums.edu.my/id/eprint/13222

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