Finance and Financial Management Commons^™

Modelling And Forecasting Stock Price Movements With Serially Dependent Determinants, Rasika Yatigammana, Shelton Peiris, Richard Gerlach, David Edmund Allen

Research outputs 2014 to 2021

The direction of price movements are analysed under an ordered probit framework, recognising the importance of accounting for discreteness in price changes. By extending the work of Hausman et al. (1972) and Yang and Parwada (2012),This paper focuses on improving the forecast performance of the model while infusing a more practical perspective by enhancing flexibility. This is achieved by extending the existing framework to generate short term multi period ahead forecasts for better decision making, whilst considering the serial dependence structure. This approach enhances the flexibility and adaptability of the model to future price changes, particularly targeting risk minimisation. Empirical …