<p><span lang="EN-US">Forecasting stock price movement direction (SPMD) is an essential issue for short-term investors and a hot topic researchers. It real challenge concerning the efficient market hypothesis that historical data would not be helpful in forecasting because it already reflected prices. Some commonly-used classical methods are based on statistics econometric models. H...

We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...

One of the main important issues of statistical analysis is forecasting. There are two important objectives of this article one is to developed time series modeling of stock market data of Karachi Stock Exchange (KSE-100). Second is to identify the probability distribution on banking sector of Karachi Stock Exchange (KSE-100).In this work, statistical relation between prices and corresponding t...

We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...

This article attempts to present a basic method of time series analysis, modelling and forecasting performance of ARIMA, GARCH (1,1) and mixed ARIMA GARCH (1,1) models using historical daily close price downloaded through the yahoo finance website from the NASDAQ stock exchange for GE company (USA) during the period of 2001 to 2014. This paper also presents a brief analysis technique introducti...

Financial and capital markets (especially stock markets) are considered high return investment fields, which in the same time are dominated by uncertainty and volatility. Stock market prediction tries to reduce this uncertainty and consequently the risk. As stock markets are influenced by many economical, political and even psychological factors, it is very difficult to forecast the movement of...