The Predictability of the Amman Stock Exchange using the Univariate Autoregressive Integrated Moving Average (ARIMA) Model

Abstract

This study examines the univariate ARIMA forecasting model, using the Amman Stock Exchange (ASE) general daily index between 4/1/2004 and 10/8/2004; with out‐of‐sample testing undertaken on the following seven days. Different diagnostic tests were performed to find the best model describing the data. The selected model predicted that the ASE would continue to grow by 0.195% for seven days starting on 11/8/2004. This forecast, however, was not consistent with actual performance during the period of the prediction (11/8/2004 ‐ 19/8/2004) since ASE declined by ‐ 0.003% assuring the fact that ASE followed most closely the Efficient Market Hypothesis (EMH) in its weak form.

Citation

Al‐Shiab, M. (2006), "The Predictability of the Amman Stock Exchange using the Univariate Autoregressive Integrated Moving Average (ARIMA) Model", Journal of Economic and Administrative Sciences, Vol. 22 No. 2, pp. 17-35. https://doi.org/10.1108/10264116200600006