Forcasting Philippine daily stock exchange index

Abstract

The purpose of the study is to produce a model that can estimate a three-year forecast of the Philippine Daily Stock Exchange Index. Seasonal Autoregressive Integrated Moving Average (SARIMA) model is applied ona total of 4,927 daily data observations from 1995 to 2014. By then, actual and predicted values was compared through the paired t-test analysis by testing the hypothesis whether the two series of values are having significant difference or not, and other analysis signifying the accuracy of the model to forecast the future values, that is created through all processes that are included in the evaluation of the model. This study may help the government for generating well-informed decisions regarding the topic discussed and for any improvements they may be able to make in the stock exchanged shares in global market for the country’s sake after learning about possible outcome of the study.

Keywords:forecast; models; Philippines; SARIMA; stock exchange