Analysis of ARIMA-Artificial Neural Network Hybrid Model in Forecasting of Stock Market Returns
Asian Journal of Probability and Statistics · pp. 42–53 · Published 24 Jan 2020
10.9734/ajpas/2020/v6i230157Abstract
This study focuses on the modelling of Nigerian stock market all–shares index and evaluations of predictions ability using ARIMA, Artificial Neural Network and a hybrid ARIMA-Artificial Neural Network model. The ARIMA (1,1,1) model and neural network with architecture (6:1:3) turns out to be the most fitted among the considered models, these models were used for forecasting the returns, and their performances have been compared according to some statistical measure of accuracy. A hybrid model has been constructed using ARIMA-Artificial Neural Networks model, the computational results on the data reveal that the hybrid model using Artificial Neural Network, provides better forecasts, and will enhance forecasting over the single ARIMA and Artificial Neural Networks models. The study recommends the use of ARIMA-Artificial neural network for modelling and forecasting stock market returns.
Cited by 19
W. J. Dlamini, S. Melesse, H. Mwambi · BMJ Global Health · 2025
Mahwish Rabia, Zairash Rashid, Fatima Babar · Nativa · 2025
Dhaval Mehta, Nipun Dahiya, Ishani Saha · 2025 3rd International Conference on Communication, Security, and Artificial Intelligence (ICCSAI) · 2025
Jyotirmayee Behera, Pankaj Kumar · Applied Soft Computing · 2025
Chuan-Jun Zhao, Meili Wu, Jingfeng Liu · International Journal of Cognitive Computing in Engineering · 2023
Abdullah Bin Omar, Shuai Huang, A. Salameh · Frontiers in Environmental Science · 2022
Lihki Rubio, Keyla V. Alba · Mathematics · 2022
Chien-Ming Chen, Yu-Xiao Gong, J. Wu · Wireless Communications and Mobile Computing · 2022
W. Ding, Chen Jin, Su-Xia Yang · 2021 International Conference on Big Data Analytics for Cyber-Physical System in Smart City · 2021
Ahmad Abu Alrub, T. Awwad, Emad Al-Saadi · International Journal of Finance · 2021
Related research
- Time Series and Empirical Orthogonal Transformation Using Meteorological Parameters across the Climatic Zones in Nigeria — shares topic coverage
- India’s Basmati Rice Export Forecasting and Performance: ARIMA Model — shares topic coverage
- Comparison between Different Mustard Yield Prediction Models Developed using Various Techniques for Udaipur Region of Rajasthan — shares topic coverage
- Trajectory of COVID-19 Data in India: Investigation and Project Using Artificial Neural Network, Fuzzy Time Series and ARIMA Models — shares topic coverage
- Modeling Temporal Variation of Particulate Matter Concentration at Three Different Locations of Delhi — shares topic coverage
Article metrics
Real usage data collected on this platform.
0
Page views
0
PDF downloads
0
Outbound clicks
19
Citations
Views by country
Approximate, from request IP at view time — not citizenship or institution. Countries with fewer than 5 views are grouped as "Other".
No views recorded yet.
Traffic sources
Referring site, by host.
No traffic recorded yet.
Views and downloads exclude known bots/crawlers. Citations combines this platform's own DOI-resolved index with each external source's own reported total — see Cited by above for individually listed citing works. Last refreshed 0 seconds ago.