@Article{
AUTHOR = {Nguyen-Thanh, Nhan Nguyen-Thanh and Huarng, Kun-Huang Huarng},
TITLE = {A Competitive Model to Forecast a Stock Market Index},
JOURNAL = {Journal of Business Accounting and Finance Perspectives},
VOLUME = {2},
YEAR = {2020},
NUMBER = {2},
PAGES = {0--0},
URL = {https://jbafp.archive.jams.pub/article/2/2/56},
ISSN = {2603-7475},
ABSTRACT = {This study proposes a competitive model using the Box–Jenkins approach to implement a Box–Jenkins ARIMA-GARCH model in order to improve financial forecasting. Differing from previous studies, we consider optimizing the lagged terms, which assist in capturing the relationships more properly. The competitive model is then used to forecast the stock market index in Taiwan. This study conducts out-of-sample forecasting and compares the root mean square errors (RMSEs) against previous studies. The results show that the competitive model outperformed in terms of both RMSEs and consistency.},
DOI = {10.35995/jbafp2020014}
}