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Prediction of BRIC Stock Price Using ARIMA, SutteARIMA, and Holt-Winters
Prediction of BRIC Stock Price Using ARIMA, SutteARIMA, and Holt-Winters
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Date
2022
Authors
Ansari Saleh Ahmar
Pawan Kumar Singh
Nguyen Van Thanh
Nguyen Viet Tinh
Vo Minh Hieu
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Research Projects
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Abstract
The novel coronavirus has played a disastrous role in many countries
worldwide. The outbreak became a major epidemic, engulfing the entire world
in lockdown and it is now speculated that its economic impact might be worse
than economic deceleration and decline. This paper identifies two different
models to capture the trend of closing stock prices in Brazil (BVSP), Russia
(IMOEX.ME), India (BSESN), and China (SSE), i.e., (BRIC) countries. We
predict the stock prices for three daily time periods, so appropriate preparations
can be undertaken to solve these issues. First, we compared the ARIMA,
SutteARIMA and Holt-Winters (H-W) methods to determine the most effective
model for predicting data. The stock closing price of BRIC country data
was obtained from Yahoo Finance. That data dates from 01 November 2019
to 11 December 2020, then divided into two categories–training data and test
data. Training data covers 01 November 2019 to 02 December 2020. Seven
days (03December 2020 to 11December 2020) of datawas tested to determine
the accuracy of the models using training data as a reference. To measure
the accuracy of the models, we obtained the means absolute percentage error
(MAPE) and mean square error (MSE). Prediction model Holt-Winters was
found to be the most suitable for forecasting the Brazil stock price (BVSP)
while MAPE (0.50) and MSE (579272.65) with Holt-Winters (smaller than
ARIMA and SutteARIMA), model SutteARIMA was found most appropriate
to predict the stock prices of Russia (IMOEX.ME), India (BSESN), and
China (SSE) when compared to ARIMA and Holt-Winters.MAPE andMSE
with SutteARIMA: Russia (MAPE:0.7; MSE:940.20), India (MAPE:0.90;
MSE:207271.16), and China (MAPE: 0.72; MSE: 786.28). Finally, Holt-
Winters predicted the daily forecast values for the Brazil stock price (BVSP)
(12 December to 14 December 2020 i.e., 115757.6, 116150.9 and 116544.1),
while SutteARIMA predicted the daily forecast values of Russia stock prices
(IMOEX.ME) (12 December to 14 December 2020 i.e., 3238.06, 3241.54 and
3245.01), India stock price (BSESN) (12 December to 14 December 2020 i.e.,.
45709.38, 45828.71 and 45948.05), and China stock price (SSE)
Description
Keywords
SutteARIMA,
Holt-Winters,
ARIMA,
stock price,
COVID-19