IDEAS home Printed from https://ideas.repec.org/a/spr/qualqt/v56y2022i4d10.1007_s11135-021-01207-6.html
   My bibliography  Save this article

Implementation of the SutteARIMA method to predict short-term cases of stock market and COVID-19 pandemic in USA

Author

Listed:
  • Pawan Kumar Singh

    (Thapar Institute of Engineering and Technology)

  • Anushka Chouhan

    (Banaras Hindu University)

  • Rajiv Kumar Bhatt

    (Banaras Hindu University)

  • Ravi Kiran

    (Thapar Institute of Engineering and Technology)

  • Ansari Saleh Ahmar

    (Universitas Negeri Makassar)

Abstract

The objective of this study is to compare the different methods which are effective in predicting data of the short-term effect of COVID-19 confirmed cases and DJI closed stock market in the US. Data for confirmed cases of COVID-19 has been obtained from Worldometer, the database of Johns Hopkins University and the US stock market data (DJI) was obtained from Yahoo Finance. The data starts from 20 January 2020 (first confirmed COVID-19 case the US) to 06 December 2020 and DJI data covers 21 January 2019 to 04 December 2020. COVID-19 data was tested for the period 30 November to 06 December and DJI from 25 November 2020 to 04 December. From the result, we find that the method SutteARIMA was found more suitable to calculate the daily forecasts of COVID-29 confirmed cases and DJI in the US and this method has been used in this study. For the evaluation of the prediction methods, the accuracy measure means absolute percentage error (MAPE) has been used. The MAPE value with the SutteARIMA of 0.56 and 0.60 for COVID-19 and DJI stock respectively was found to be smaller than the MAPE value with ARIMA method.

Suggested Citation

  • Pawan Kumar Singh & Anushka Chouhan & Rajiv Kumar Bhatt & Ravi Kiran & Ansari Saleh Ahmar, 2022. "Implementation of the SutteARIMA method to predict short-term cases of stock market and COVID-19 pandemic in USA," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(4), pages 2023-2033, August.
    • Handle: RePEc:spr:qualqt:v:56:y:2022:i:4:d:10.1007_s11135-021-01207-6
    DOI: 10.1007/s11135-021-01207-6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s11135-021-01207-6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s11135-021-01207-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Salisu, Afees A. & Akanni, Lateef & Raheem, Ibrahim, 2020. "The COVID-19 global fear index and the predictability of commodity price returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    2. Arora, Parul & Kumar, Himanshu & Panigrahi, Bijaya Ketan, 2020. "Prediction and analysis of COVID-19 positive cases using deep learning models: A descriptive case study of India," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    3. Kim, Sungil & Kim, Heeyoung, 2016. "A new metric of absolute percentage error for intermittent demand forecasts," International Journal of Forecasting, Elsevier, vol. 32(3), pages 669-679.
    4. Singhal, Amit & Singh, Pushpendra & Lall, Brejesh & Joshi, Shiv Dutt, 2020. "Modeling and prediction of COVID-19 pandemic using Gaussian mixture model," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
    5. Mojtaba Nabipour & Pooyan Nayyeri & Hamed Jabani & Amir Mosavi, 2020. "Deep learning for Stock Market Prediction," Papers 2004.01497, arXiv.org.
    6. Chi Xie & Changqing Luo & Xiang Yu, 2011. "Financial distress prediction based on SVM and MDA methods: the case of Chinese listed companies," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(3), pages 671-686, April.
    7. Wang, Peipei & Zheng, Xinqi & Li, Jiayang & Zhu, Bangren, 2020. "Prediction of epidemic trends in COVID-19 with logistic model and machine learning technics," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    8. Castillo, Oscar & Melin, Patricia, 2020. "Forecasting of COVID-19 time series for countries in the world based on a hybrid approach combining the fractal dimension and fuzzy logic," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    9. Koutsellis, Themistoklis & Nikas, Alexandros, 2020. "A predictive model and country risk assessment for COVID-19: An application of the Limited Failure Population concept," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dalton Garcia Borges de Souza & Erivelton Antonio dos Santos & Francisco Tarcísio Alves Júnior & Mariá Cristina Vasconcelos Nascimento, 2021. "On Comparing Cross-Validated Forecasting Models with a Novel Fuzzy-TOPSIS Metric: A COVID-19 Case Study," Sustainability, MDPI, vol. 13(24), pages 1-25, December.
    2. Abbasimehr, Hossein & Paki, Reza, 2021. "Prediction of COVID-19 confirmed cases combining deep learning methods and Bayesian optimization," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    3. Jelena Musulin & Sandi Baressi Šegota & Daniel Štifanić & Ivan Lorencin & Nikola Anđelić & Tijana Šušteršič & Anđela Blagojević & Nenad Filipović & Tomislav Ćabov & Elitza Markova-Car, 2021. "Application of Artificial Intelligence-Based Regression Methods in the Problem of COVID-19 Spread Prediction: A Systematic Review," IJERPH, MDPI, vol. 18(8), pages 1-39, April.
    4. Essam A. Rashed & Akimasa Hirata, 2021. "One-Year Lesson: Machine Learning Prediction of COVID-19 Positive Cases with Meteorological Data and Mobility Estimate in Japan," IJERPH, MDPI, vol. 18(11), pages 1-16, May.
    5. Gaetano Perone, 2022. "Using the SARIMA Model to Forecast the Fourth Global Wave of Cumulative Deaths from COVID-19: Evidence from 12 Hard-Hit Big Countries," Econometrics, MDPI, vol. 10(2), pages 1-23, April.
    6. Tayarani N., Mohammad-H., 2021. "Applications of artificial intelligence in battling against covid-19: A literature review," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    7. Wang, Peipei & Zheng, Xinqi & Ai, Gang & Liu, Dongya & Zhu, Bangren, 2020. "Time series prediction for the epidemic trends of COVID-19 using the improved LSTM deep learning method: Case studies in Russia, Peru and Iran," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    8. Hu, Xincheng & Banks, Jonathan & Wu, Linping & Liu, Wei Victor, 2020. "Numerical modeling of a coaxial borehole heat exchanger to exploit geothermal energy from abandoned petroleum wells in Hinton, Alberta," Renewable Energy, Elsevier, vol. 148(C), pages 1110-1123.
    9. Philippe St-Aubin & Bruno Agard, 2022. "Precision and Reliability of Forecasts Performance Metrics," Forecasting, MDPI, vol. 4(4), pages 1-22, October.
    10. Narayan, Paresh Kumar, 2022. "Understanding exchange rate shocks during COVID-19," Finance Research Letters, Elsevier, vol. 45(C).
    11. Arash YoosefDoost & William David Lubitz, 2021. "Archimedes Screw Design: An Analytical Model for Rapid Estimation of Archimedes Screw Geometry," Energies, MDPI, vol. 14(22), pages 1-14, November.
    12. Hu, Xincheng & Banks, Jonathan & Guo, Yunting & Liu, Wei Victor, 2022. "Utilizing geothermal energy from enhanced geothermal systems as a heat source for oil sands separation: A numerical evaluation," Energy, Elsevier, vol. 238(PA).
    13. David Alaminos & Manuel Ángel Fernández, 2019. "Why do football clubs fail financially? A financial distress prediction model for European professional football industry," PLOS ONE, Public Library of Science, vol. 14(12), pages 1-15, December.
    14. Sisa Shiba & Goodness C. Aye & Rangan Gupta & Samrat Goswami, 2022. "Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty," JRFM, MDPI, vol. 15(11), pages 1-15, November.
    15. Adediran, Idris A. & Yinusa, Olalekan D. & Lakhani, Kanwal Hammad, 2021. "Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?," Resources Policy, Elsevier, vol. 70(C).
    16. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    17. Narayan, Paresh Kumar & Devpura, Neluka & Wang, Hua, 2020. "Japanese currency and stock market—What happened during the COVID-19 pandemic?," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 191-198.
    18. Nghia Chu & Binh Dao & Nga Pham & Huy Nguyen & Hien Tran, 2022. "Predicting Mutual Funds' Performance using Deep Learning and Ensemble Techniques," Papers 2209.09649, arXiv.org, revised Jul 2023.
    19. Xu, Yingying & Lien, Donald, 2022. "Assessing the impact of COVID-19 on price Co-movements in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    20. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).

    More about this item

    Keywords

    SutteARIMA; DJI; Short-term forecast; COVID-19;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • I12 - Health, Education, and Welfare - - Health - - - Health Behavior

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:qualqt:v:56:y:2022:i:4:d:10.1007_s11135-021-01207-6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.