Practical Use of Box-Jenkins Methodology for Seasonal Financial Data Prediction

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F15%3A43873755" target="_blank" >RIV/70883521:28120/15:43873755 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Practical Use of Box-Jenkins Methodology for Seasonal Financial Data Prediction
Original language description
Many economic/financial processes exhibit some form of seasonality. The agricultural, construction, and travel sectors have obvious seasonal patterns resulting from their dependence on the weather. Similarly, the Christmas holiday season has a pronouncedinfluence on the retail trade. In fact, seasonal variation of a series may account for the preponderance of its total variance. Forecasts that ignore important seasonal patterns will have a high variance. One of the possibilities to implement quality forecasts in the seasonal data is to use the Box-Jenkins methodology, which seems to be a useful tool for this purpose. The research study of this paper is devoted to application of ARIMA/SARIMA models to the seasonal financial data that are sensitive to the mean shifting while calculating the autocorrelation in the data. Results are compared with other common models with appropriate commentary.
Czech name
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Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 7th International Scientific Conference Finance and the Performance of Firms in Science, Education and Practice
ISBN
978-80-7454-482-8
ISSN
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e-ISSN
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Number of pages
14
Pages from-to
"598-611"
Publisher name
Fakulta managementu a ekonomiky, UTB ve Zlíně
Place of publication
Zlín
Event location
Zlín
Event date
Apr 23, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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