Start Submission Become a Reviewer

Reading: ARIMA and FBMAP approach for forecasting daily stock price in Colombo Stock Exchange, Sri Lanka

Download

A- A+
Alt. Display

Research Articles

ARIMA and FBMAP approach for forecasting daily stock price in Colombo Stock Exchange, Sri Lanka

Authors:

A. W. V. M. Amunugama ,

Sri Lanka Technological Campus, Meepe, Padukka, LK
About A. W. V. M.

Faculty of Arts and Sciences

X close

H. T. K. Abeysundara,

University of Peradeniya, Peradeniya, LK
About H. T. K.
Department of Statistics and Computer Science, Faculty of Science
X close

U. N. B. Dissanayaka

University of Peradeniya, Peradeniya, LK
About U. N. B.
Department of Mathematics, Faculty of Science
X close

Abstract

This study attempts to examine whether the stock prices of companies listed on the Colombo Stock Exchange (CSE) follow Random Walk Hypothesis (RWH) and presents a mathematical model of stock prices using a Fractional Brownian Motion Process with Adaptive Parameters (FBMAP) compared with Auto-Regressive Integrated Moving Average (ARIMA) time series model. The period covered by the research was January 2015 to June 2019. The main objective of the study was to investigate whether stock prices follow the RWH and to compare two major forecasting methods. To check RWH, Chi-square Test, the Runs Test, and the Auto-correlation Test were used. The Augmented Dickey-Fuller Test (ADF Test) was used to verify the stationarity of the data set. In the first phase, the best fitted ARIMA model was found using Akaike Information Criteria (AIC), Root Mean Squared Error (RMSE), and Mean Absolute Percentage Error (MAPE). In the second phase, the proposed FBMAP was used to predict future stock prices. The results obtained demonstrated the potential of the ARIMA model and FBMAP model to predict the stock price indices on a short-term basis. The simulation results showed that the FBMAP model is more suitable for forecasting daily closing prices than the ARIMA model.

How to Cite: Amunugama, A. W. V. M., Abeysundara, H. T. K., & Dissanayaka, U. N. B. (2022). ARIMA and FBMAP approach for forecasting daily stock price in Colombo Stock Exchange, Sri Lanka. Ceylon Journal of Science, 51(3), 259–267. DOI: http://doi.org/10.4038/cjs.v51i3.8033
Published on 21 Sep 2022.
Peer Reviewed

Downloads

  • PDF (EN)

    comments powered by Disqus