A Short-Term Stock Exchange Prediction Model Using Box-Jenkins Approach

  • Boye P
  • Ziggah Y
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Abstract

This paper developed a short-term stock exchange prediction model using the Box-Jenkins approach. In this study, monthly data from Ghana Stock Exchange market report that spans from March 2013 to February 2018 were used to develop the model. ARIMA (0, 2, 1) model was fitted to the data based on the Bayesian Information Criterion (BIC) for model selection. Diagnostic checks showed that the residuals of the fitted model were uncorrelated. The developed model was used for forecasting for a period of six months. The trend of the forecasted values showed a significant increase in the Ghana Stock Exchange performance for the next six months.

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APA

Boye, P., & Ziggah, Y. Y. (2020). A Short-Term Stock Exchange Prediction Model Using Box-Jenkins Approach. Journal of Applied Mathematics and Physics, 08(05), 766–779. https://doi.org/10.4236/jamp.2020.85059

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