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


DAWOUD I., KAÇIRANLAR S.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, vol.46, no.12, pp.5754-5765, 2017 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 46 Issue: 12
  • Publication Date: 2017
  • Doi Number: 10.1080/03610926.2015.1112910
  • Title of Journal : COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Page Numbers: pp.5754-5765

Abstract

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.