An optimal k of kth MA-ARIMA models under MA(q) models


DAWOUD I., KAÇIRANLAR S.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.46, ss.4185-4198, 2017 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 46 Konu: 6
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1080/03610918.2015.1109657
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Sayfa Sayısı: ss.4185-4198

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 MA(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 (5-th EWMA) Autoregressive Integrated Moving Average (ARIMA) model is the best forecasting model among others, which means the optimal k = 5. For Turkish Telecommunications (TTKOM), stock market real data reveals the similar results of the simulation study.