Year 2018, Volume 02, Issue 1, Pages 1 - 8 2018-09-01

Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods

Reza Arabi Belaghi [1] , Minoo Aminnejad [2] , Özlem Gürünlü Alma [3]

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Prediction of stock market value is one the most complicated issue during the past decades. Due to its importance, in this research, we consider the prediction of stock values based on non-parametric and parametric methods. In this first method, we use the fuzzy Markov chain procedure in order to prediction problem. In this regard, all of the rising and falling probabilities during the weekdays are calculated and then they applied to obtain the increasing and decreasing rate. Then, based on this information we model and predict the stock values. In the sequel, we implement different methods of parametric time series such as generalized autoregressive conditionally heteroskedastic (GARCH), ARIMA-GARCH, Exponential GARCH (E-GARCH) and GJR-GARCH by assuming the normal and t-student distribution for the error terms to obtain the best model in terms of minimum mean square errors. Finally, the mythologies developed here are applied for the Tehran Stock Exchange Index (TEDPIX).

Conditional variance, Error distribution, Fuzzy prediction, Markov chain, Stock exchange, Volatility models
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Primary Language en
Subjects Mathematics
Journal Section Articles
Authors

Author: Reza Arabi Belaghi
Institution: Tabriz University
Country: Iran


Author: Minoo Aminnejad
Institution: Razi University, Iran

Author: Özlem Gürünlü Alma (Primary Author)
Institution: Muğla Sıtkı Koçman Unv, Department of Statistics
Country: Turkey


Dates

Publication Date: September 1, 2018

Bibtex @research article { forecasting420126, journal = {Turkish Journal of Forecasting}, issn = {}, eissn = {2618-6594}, address = {Giresun University}, year = {2018}, volume = {02}, pages = {1 - 8}, doi = {10.34110/forecasting.420126}, title = {Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods}, key = {cite}, author = {Arabi Belaghi, Reza and Aminnejad, Minoo and Gürünlü Alma, Özlem} }
APA Arabi Belaghi, R , Aminnejad, M , Gürünlü Alma, Ö . (2018). Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods. Turkish Journal of Forecasting, 02 (1), 1-8. DOI: 10.34110/forecasting.420126
MLA Arabi Belaghi, R , Aminnejad, M , Gürünlü Alma, Ö . "Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods". Turkish Journal of Forecasting 02 (2018): 1-8 <http://dergipark.org.tr/forecasting/issue/38990/420126>
Chicago Arabi Belaghi, R , Aminnejad, M , Gürünlü Alma, Ö . "Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods". Turkish Journal of Forecasting 02 (2018): 1-8
RIS TY - JOUR T1 - Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods AU - Reza Arabi Belaghi , Minoo Aminnejad , Özlem Gürünlü Alma Y1 - 2018 PY - 2018 N1 - doi: 10.34110/forecasting.420126 DO - 10.34110/forecasting.420126 T2 - Turkish Journal of Forecasting JF - Journal JO - JOR SP - 1 EP - 8 VL - 02 IS - 1 SN - -2618-6594 M3 - doi: 10.34110/forecasting.420126 UR - https://doi.org/10.34110/forecasting.420126 Y2 - 2018 ER -
EndNote %0 Turkish Journal of Forecasting Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods %A Reza Arabi Belaghi , Minoo Aminnejad , Özlem Gürünlü Alma %T Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods %D 2018 %J Turkish Journal of Forecasting %P -2618-6594 %V 02 %N 1 %R doi: 10.34110/forecasting.420126 %U 10.34110/forecasting.420126
ISNAD Arabi Belaghi, Reza , Aminnejad, Minoo , Gürünlü Alma, Özlem . "Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods". Turkish Journal of Forecasting 02 / 1 (September 2018): 1-8. https://doi.org/10.34110/forecasting.420126
AMA Arabi Belaghi R , Aminnejad M , Gürünlü Alma Ö . Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods. TJF. 2018; 02(1): 1-8.
Vancouver Arabi Belaghi R , Aminnejad M , Gürünlü Alma Ö . Stock Market Prediction Using Nonparametric Fuzzy and Parametric GARCH Methods. Turkish Journal of Forecasting. 2018; 02(1): 8-1.