Stock Price Prediction with Box-Jenkins Models: Delta Airlines Application

Abstract

The aviation industry has a great impact on the economic development of countries. This industry is effective in increasing the global gross domestic product both directly and indirectly. The share of airline companies in this economic development is important. This study, it is tried to estimate the monthly stock price of an airline company that contributes to economic growth. In the study, the monthly prices of shares of Delta Airlines, which are among the largest airline companies in America, traded in the New York Stock Exchange (NYSE), covering the period of 2010 January-2021 December, were included. Stock prices are from Box- Jenkins models; It has been tried to estimate using Autoregressive Models (AR), Moving Average Models (MA), Autoregressive and Moving Average Model (ARMA). In the study, the (AR) model was included in the prediction modelling because it provided the assumptions. The result of the study showed that the Box- Jenkins approach gave successful results in the estimation outputs.

Keywords

• Aviation
• ARMA
• ARIMA
• Box-Jenkins

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