Research Article


DOI :10.26650/JODA.1312382   IUP :10.26650/JODA.1312382    Full Text (PDF)

A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index

Christian MunezaAsad Ul İslam KhanWaqar Badshah

This paper compares three forecasting methods, the autoregressive integrated moving average (ARIMA), generalized autoregressive conditional heteroscedasticity (GARCH), and neural network autoregression (NNAR) methods, using the S&P 500 Pharmaceuticals Index. The objective is to identify the most accurate model based on the mean average forecasting error (MAFE). The results consistently show the NNAR model to outperform ARIMA and GARCH and to exhibit a significantly lower MAFE. The existing literature presents conflicting findings on forecasting model accuracy for stock indexes. While studies have explored various models, no universally applicable model exists. Therefore, a comparative analysis is crucial. The methodology includes data collection and cleaning, exploratory analysis, and model building. The daily closing prices of pharmaceutical stocks from the S&P 500 serve as the dataset. The exploratory analysis reveals an upward trend and increasing heteroscedasticity in the pharmaceuticals index, with the unit root tests confirming non-stationarity. To address this, the dataset has been transformed into stationary returns using logarithmic and differencing techniques. Model building involves splitting the dataset into training and test sets. The training set determines the best-fit models for each method. The models are then compared using MAFE on the test set, with the model possessing the lowest MAFE being considered the best. The findings provide insights into model accuracy for pharmaceutical industry indexes, aiding investor predictions, with the comparative analysis emphasizing tailored forecasting models for specific indexes and datasets.


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APA

Muneza, C., Khan, A.U., & Badshah, W. (2023). A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index. Journal of Data Applications, 0(1), 83-94. https://doi.org/10.26650/JODA.1312382


AMA

Muneza C, Khan A U, Badshah W. A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index. Journal of Data Applications. 2023;0(1):83-94. https://doi.org/10.26650/JODA.1312382


ABNT

Muneza, C.; Khan, A.U.; Badshah, W. A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index. Journal of Data Applications, [Publisher Location], v. 0, n. 1, p. 83-94, 2023.


Chicago: Author-Date Style

Muneza, Christian, and Asad Ul İslam Khan and Waqar Badshah. 2023. “A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index.” Journal of Data Applications 0, no. 1: 83-94. https://doi.org/10.26650/JODA.1312382


Chicago: Humanities Style

Muneza, Christian, and Asad Ul İslam Khan and Waqar Badshah. A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index.” Journal of Data Applications 0, no. 1 (Jul. 2024): 83-94. https://doi.org/10.26650/JODA.1312382


Harvard: Australian Style

Muneza, C & Khan, AU & Badshah, W 2023, 'A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index', Journal of Data Applications, vol. 0, no. 1, pp. 83-94, viewed 21 Jul. 2024, https://doi.org/10.26650/JODA.1312382


Harvard: Author-Date Style

Muneza, C. and Khan, A.U. and Badshah, W. (2023) ‘A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index’, Journal of Data Applications, 0(1), pp. 83-94. https://doi.org/10.26650/JODA.1312382 (21 Jul. 2024).


MLA

Muneza, Christian, and Asad Ul İslam Khan and Waqar Badshah. A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index.” Journal of Data Applications, vol. 0, no. 1, 2023, pp. 83-94. [Database Container], https://doi.org/10.26650/JODA.1312382


Vancouver

Muneza C, Khan AU, Badshah W. A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index. Journal of Data Applications [Internet]. 21 Jul. 2024 [cited 21 Jul. 2024];0(1):83-94. Available from: https://doi.org/10.26650/JODA.1312382 doi: 10.26650/JODA.1312382


ISNAD

Muneza, Christian - Khan, AsadUl İslam - Badshah, Waqar. A Comparative Assessment of Frequentist Forecasting Models: Evidence from the S&P 500 Pharmaceuticals Index”. Journal of Data Applications 0/1 (Jul. 2024): 83-94. https://doi.org/10.26650/JODA.1312382



TIMELINE


Submitted11.06.2023
Accepted17.07.2023
Published Online02.08.2023

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