Year: 2024
Type: article
Abstract: Forecasting the stock value is an enduring topic for investors. The ARIMA model is an effective model for forecasting proposed by Box and Jenkins in the 1970s. The NASDAQ Composite provides an index for investors to analyze the market of technical companies. Based on the ARIMA model, the author uses the NASDAQ Composite from Jan.2nd, 2020 to Jun.28th, 2024 for forecasting. This paper briefly introduces the NASDAQ Composite, ARIMA model and some judging criteria. The result of the modeling process reflects that the ARIMA (0, 1, 1) can better describe the index. The following actual value of the index also proves the correction of the model. However, as the period of the data is hard to determine, the seasonality of the model is uneasy to find. In future researches, the author plans to figure out a method to determine the days of one period of the index to reveal the index’s seasonality, or use models based on ARIMA model for forecasting.
Author: Yuchen Xiang
Institution: Shanghai Jiao Tong University
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4405793143