Forecasting Financial Data with ARIMA and ARCH Models: The Case of Turkey


Degirmenci N., Akay A.

ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, cilt.12, sa.3, ss.15-36, 2017 (ESCI İndekslerine Giren Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 12 Konu: 3
  • Basım Tarihi: 2017
  • Dergi Adı: ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES
  • Sayfa Sayıları: ss.15-36

Özet

The aim of this study is to predict the stock market, gold, foreign exchange and oil prices with Box-Jenkins and ARCH models. In this direction, weekly datasets are used of BIST100 index, gold and oil prices and exchange rate variables between 01.02.2009-11.25.2016. As a result of the analyses, asymmetric effect is revealed in all variables except gold prices. Also, the predictions obtained from the ARCH models were found to be close to zero in the theil statistics.