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Forecasting The Total Index Of Tehran Stock Exchange

Author

Listed:
  • EMAMVERDI, Ghodratollah

    (Islamic Azad University, Central Tehran Branch)

  • KARIMI, Mohammad Sharif

    (Department of Economics, Faculty of Social Sciences, Razi University, Kermanshah, Iran)

  • KHAKIE, Sima

    (Islamic Azad University, Central Tehran Branch)

  • KARIMI, Mojtaba

    (Islamic Azad University, Central Tehran Branch)

Abstract

Development of financial markets and financial instruments is one of the pillars of economic growth and capital accumulation in any countries especially in the developing ones. Capital market works as a substantial tool for development and financing which attracts many investors for purchasing and selling capital. Hence they are seeking for forecasting events and situations of future till can invest with a lower uncertainty. On the other hand total index of stock exchanges accounted for a precursor one in economics which we expect following improvement in index of capital market, the economic growth will improve and we face condition of recession after its decrease. Thus the importance of exact prediction of this index is redoubled. In this paper we forecast the index by applying ARIMA and Neural Network and then we achieve the minimum and maximum of total index by using FARIMA. Indeed the main aim of this research is to imply this point that these three methods are complementary to each other in decision making of investors and economic policy makers.

Suggested Citation

  • EMAMVERDI, Ghodratollah & KARIMI, Mohammad Sharif & KHAKIE, Sima & KARIMI, Mojtaba, 2016. "Forecasting The Total Index Of Tehran Stock Exchange," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(1), pages 54-68.
  • Handle: RePEc:vls:finstu:v:20:y:2016:i:1:p:54-68
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    More about this item

    Keywords

    Forecasting; Stock price index; Tehran Stock Exchange; Fuzzy ARIMA; Neural Network;

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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