Predicting The Evolution Of Bet Index, Using An Arima Model

Trying to predict the future price of certain stocks, securities or indexes is quite a common goal, being motivated by different reasons and being based on various techniques. The present article has the same purpose, employing an ARIMA model, due to its proven effectiveness and success. Used data is comprised of monthly values for the mentioned index, on a four-year period, from 2010 to 2014, which lead to 60 recordings. The main steps for the analysis are identifying the model, estimating the parameters and the prediction itself. After each one of them is carefully conducted, a comparison is made: the predicted values for BET versus the real values for BET, in order to see if any resemblances exists, or if the differences are significant. Those resemblances or differences are explained, while the conclusion will highlight ARIMA’s capacity or incapacity of forecasting in an accurate way, in the presented context.

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