TY - EJOU AU - Nguyen-Thanh, N. Nhan AU - Huarng, H. Kun-Huang TI - A Competitive Model to Forecast a Stock Market Index T2 - Journal of Business Accounting and Finance Perspectives PY - 2020 VL - 2 IS - 2 SN - 2603-7475 AB - 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. KW - Box–Jenkins approach KW - ARIMA-GARCH KW - fuzzy sets KW - stock market index DO - 10.35995/jbafp2020014