2005 Cilt 24 Sayı 1

Permanent URI for this collectionhttps://hdl.handle.net/11452/17244

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    Can we forecast return natıonal-financial index for İstanbul stock exchange?
    (Uludağ Üniversitesi, 2005) Sevüktekin, Mustafa; Nargeleçekenler, Mehmet; İktisat İdare Bilimler Fakültesi; Ekomometri Bölümü
    Recently a substantial part of the macro-economic research has been underpinned by time series analysis. Two themes attract attention in time series analysis, which are examination of the data generating process and forecasting making use of the same data. In this study, we analyze the properties of univariate time series, unit root tests, and forecasting for the daily return of national financial index of Istanbul Stock Exchange (NFI). The unit root tests employed reveals that the daily return of national financial series are non-stationary. Afterwards, we estimated alternative ARIMA(p,d,q) models forecasting we calculated forecast accuracy measures. According to results of all of counted forecast performance measures are approximately equal to each other. But the more explicitly, we can say that if we compare to the four forecast accuracy measures together, ARIMA (1,0,0) model is the best.