Forecasting of Global Market Prices of Major Financial Instruments

Abstract

One of the easiest and fastest ways of building a healthy financial future is investing in the global market. However, the prices of the global market are highly volatile due to the impact of economic crises. Therefore, future prediction and comparison lead traders to make the low-risk decisions with price. The present study is based on time series modelling to forecast the daily close price values of financial instruments in the global market. The forecasting models were tested with two sample sizes, namely, 5-year close price values for correlation analysis and 3-year close price values for model building from 2013 January to 2018 January. The forecasting capabilities were compared for both ARIMA and GARCH class models, namely, TGARCH, APARCH, and EGARCH. The best-fitting model was selected based on the minimum value of the Akaike information criterion (AIC) and Bayesian information criteria (BIC). Finally, the comparison was carried out between ARIMA and GARCH class models using the measurement of forecast errors, based on the Root Mean Square Deviation (RMSE), Mean Absolute Error (MAE), and Mean absolute percentage error (MAPE). The GARCH model was the best-fitted model for Australian Dollar, Feeder cattle, and Coffee. The APARCH model provides the best out-of-sample performance for Corn and Crude Oil. EGARCH and TGARCH were the better-fitted models for Gold and Treasury bond, respectively. GARCH class models were selected as the better models for forecasting than the ARIMA model for daily close price values in global financial market instruments.

Accounting Teaching, Research and Accreditation

“…The "perfect" storm of the financial crises is a result, in part, the failure of the educational system (Albrect Et al., 2019). As the legal organizations continue to become more complex, according to Divisekara et al (2020), so do the financial instruments used in these organization become more complex. There has long been a need for accounting educations not only need to understand (Hayali, 2012) but also be able to teach how these complex structures and instruments are recorded and reported (Muellerleile, 2015).…”