An optimal k of kth MA-ARIMA models under MA(q) models. Issue 6 (3rd July 2017)

• Record Type: Journal Article
• Authors: Dawoud, Issam; Kaçiranlar, Selahattin
• Is Part Of: Communications in statistics. Volume 46:Issue 6(2017)
• Page Start: 4185
• Page End: 4198
• Publication Date: 2017-07-03
• Subjects: ARIMA models -- Exponential weighted moving average -- Forecasting accuracy -- Simple moving average -- Weighted moving average; 62M10; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2015.1109657
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: In this article, we discuss finding the optimal k of (i) kth simple moving average, (ii) kth weighted moving average, and (iii) kth exponential weighted moving average based on simulated MA(q) model. We run a simulation using the three above examining methods under specific conditions. The main finding is that, 5th Exponential Weighted Moving Average (5-th EWMA) Autoregressive Integrated Moving Average (ARIMA) model is the best forecasting model among others, which means the optimal k = 5. For Turkish Telecommunications (TTKOM), stock market real data reveals the similar results of the simulation study.