Title :
Forecasting volatility data based on Wavelet transforms and ARIMA model
Author :
Al Wadi, S. ; Ismail, Mohd Tahir ; Altaher, Alsaidi M. ; Karim, Samsul Ariffin Addul
Author_Institution :
School of Mathematical science, Universiti sains Malaysia, 11800 Minden, Penang, Malaysia
Abstract :
This article suggests a novel technique for forecasting the volatility data based on Wavelet transforms and ARIMA model. The volatility data are decomposed via Wavelet transforms. Then, the future observations of this series are forecasted using a suitable and best fitted ARIMA model. Daily prices from Amman Stocks Market (Jordan) from 1993 until 2009 are used in this study.
Keywords :
Analytical models; Approximation methods; Biological system modeling; Forecasting; Mathematical model; Predictive models; Wavelet analysis; ARIMA model; Wavelet transform; forecasting; volatility data;
Conference_Titel :
Science and Social Research (CSSR), 2010 International Conference on
Conference_Location :
Kuala Lumpur, Malaysia
Print_ISBN :
978-1-4244-8987-9
DOI :
10.1109/CSSR.2010.5773909
