Forecasting Stock Prices of Three Industries using ARIMA and ARFIMA Model
Keywords:
ARFIMA, ARIMA, stock prices, time seriesAbstract
Stock prices reflect a company's market value. This study aims to model the stock prices of three industries using the autoregressive integrated moving average (ARIMA) and the autoregressive fractionally integrated moving average (ARFIMA) models, and to forecast stock prices using the best model. Data for three companies were obtained from Yahoo Finance to represent the telecommunications, financial, and construction sectors. The forecast results show that all daily stock values were within 99% of the expected ranges for both models. According to the evaluation results, the ARFIMA model outperformed the ARIMA model.
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Copyright (c) 2025 Siti Aida Sheikh Hussin, Muhammad Fakhri Syaabani, Harizatul Nadia Abdul Rahman, Zalina Zahid
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