-Fuller, Phillips-Perron, and Kwiatkowski Phillips Schmidt and Shin; and Autoregressive Integrated Moving Average (ARIMA). The analysis … forecasts daily stock returns for the S&P BSE Sensex and S&P BSE IT time series, using the ARIMA model. The results reveal that …, the ARIMA model is capable of predicting medium- or long-term horizons using historical values of S&P BSE Sensex and S …

almost same results with low error percentage. Therefore, it is concluded from the study that the estimation ARIMA could be … acceptable, and forecasted beta values are accurate. So far, there are many studies on ARIMA model to forecast the returns of the …

the model selection and the forecasting period are strictly separated, the procedure mimics the situation a forecaster …

paper proposes a forecasting approach for the equity risk premium with two novel features. First, individual month … that both features of the proposed approach enable gains versus existing forecasting techniques. However, the state …

component in stock returns. When forecasting with large information sets and noisy data, it is vital to employ methods that …

performance is the DNSS model in the middle and long periods. The AFNS is inferior to the DNS model for long-period forecasting …

forecasting (both in-sample and out-of-sample). Second, we show that the strong performance of the factor model comes from the …