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Forecasting Nigerian Stock Market Returns Using Arima And Artificial Neural Network Models, Godknows M. Isenah, Olusanya E. Olubusoye
Forecasting Nigerian Stock Market Returns Using Arima And Artificial Neural Network Models, Godknows M. Isenah, Olusanya E. Olubusoye
CBN Journal of Applied Statistics (JAS)
The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The test showed that the logarithmic returns process is not a random walk and that the Nigerian stock market is not efficient. Two artificial neural network based models were developed in the study. These networks are TECH (4-3-1) and TECH (3-3-1)whose out-of-sample forecast performance was compared with a baseline ARIMA (3,0,1) model. The results obtained in the …