Zagros stock price prediction by ARIMA

Stock price prediction is an important topic in finance and economics which hasspurred the interest of researchers over the years to develop better predictive models.Traditionally, the autoregressive integrated moving average (ARIMA) model hasbeen one of the most widely used linear models in time series forecasting. ARIMAprocedure provides a comprehensive set of tools with great flexibility. This paperpresents extensive process of building stock price predictive model using the ARIMAmodel. The comparison and parameterization of the ARIMA model have been doneusing Akaike information criterion(AIC). Published stock data obtained from TehranStock Exchange(TSE) are used with stock price predictive model developed. Resultsobtained revealed that the ARIMA model has a strong potential for short-termprediction and can compete favorably with existing techniques for stock priceprediction.

Keywords:

Stock price , ARIMA , Forecast , Return , Zagros Petrochemical complex