Fourier Serileri ile Modifiye Edilmiş Modelleri Kullanarak Borsa İstanbul (BİST) Üzerine Bir Uygulama

Cebeli İnan; Erkan Oktay

EN TR

An Application on Borsa Istanbul (BIST) Using Models Modified with Fourier Series

Abstract

Predicting the future accurately is of vital importance in all disciplines, as well as in the field of social sciences. Especially today, due to the development of technology and the presence of package programs that can process huge data, it is a very important development for all fields, including econometrics, that we can reach more accurate estimates. As a result, it is a situation that is directly related to the decrease in the error rates of the forecasts and more accurate planning for the future. In this study, time series analyzes were made over the proportional changes of the closing values of the Borsa Istanbul (BIST30) index, that is, the monthly average closing values, and 24-month forecasts were calculated. For this purpose, in order to increase the accuracy of the prediction results of the classical ARIMA models and the models based on the Box-Cox transform, new prediction results were obtained with the models modified with the Fourier series. Mean square error (MSE), root mean square error (RMSE), mean absolute error (MAE) and mean absolute percent error (MAPE) performance criteria were used to evaluate the success of the established models. It was concluded that the model with the lowest value for MSE, RMSE, MAE and MAPE performance criteria was more successful than the other models. As a result, more successful results were obtained with more accurate estimation results, that is, with lower error rates.

Keywords

References

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Details

Primary Language

Turkish

Subjects

Economics

Journal Section

Research Article

Authors

Cebeli İnan ^*
0000-0002-7924-9911
Türkiye

Erkan Oktay
0000-0002-1739-3184
Türkiye

Publication Date

January 11, 2023

Submission Date

August 16, 2022

Acceptance Date

September 6, 2022

Published in Issue

Year 1970 Volume: 5 Number: 2

IZ

https://izlik.org/JA63JK57BA

Cite

RIS / Bibtex

APA

İnan, C., & Oktay, E. (2023). Fourier Serileri ile Modifiye Edilmiş Modelleri Kullanarak Borsa İstanbul (BİST) Üzerine Bir Uygulama. Turkish Research Journal of Academic Social Science, 5(2), 81-91. https://izlik.org/JA63JK57BA

An Application on Borsa Istanbul (BIST) Using Models Modified with Fourier Series

An Application on Borsa Istanbul (BIST) Using Models Modified with Fourier Series

Abstract

Keywords