An optimal k of kth MA-ARIMA models under a class of ARIMA model

DAWOUD I., KAÇIRANLAR S.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, cilt.46, sa.12, ss.5754-5765, 2017 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 46 Sayı: 12
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1080/03610926.2015.1112910
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.5754-5765
  • Anahtar Kelimeler: ARIMA models, exponential weighted moving average, forecasting accuracy, simple moving average, stationary, weighted moving average
  • Çukurova Üniversitesi Adresli: Evet

Özet

In this article, we discuss finding the optimal k of (i) kth simple moving average, (ii) kth weighted moving average, and (iii) kth exponential weighted moving average based on simulated ARIMA(p, d, q) model. We run a simulation using the three above examining methods under specific conditions. The main finding is that 5th exponential weighted moving average (5th EWMA) ARIMA model is the best forecasting model among others, which means the optimal k = 5. For Turkish Telecommunications (TTKOM) stock market, real data reveal the similar results of simulation study.