Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets
Forecasting stock market has been the centre of attraction among investors for a long period of time. Investors are always forecasting their return on investment in the stock market before they start to invest. In this study, to forecast on the stock market price, the monthly closing stock prices da...
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| Format: | Article |
| Language: | English |
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Academy of Sciences Malaysia
2020
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| Online Access: | https://repo.uum.edu.my/id/eprint/30900/1/ASJ%2013%202020%2001-05.pdf https://doi.org/10.32802/asmscj.2020.sm26(1.4) |
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| author | Zaini, Bahtiar Jamili Mansor, Rosnalini Md Yusof, Zahayu Gabda, Darmesah Wong, Kah Seng |
| author_facet | Zaini, Bahtiar Jamili Mansor, Rosnalini Md Yusof, Zahayu Gabda, Darmesah Wong, Kah Seng |
| author_sort | Zaini, Bahtiar Jamili |
| collection | UUM |
| description | Forecasting stock market has been the centre of attraction among investors for a long period of time. Investors are always forecasting their return on investment in the stock market before they start to invest. In this study, to forecast on the stock market price, the monthly closing stock prices data from the Malaysian stock markets, namely AM001 Berhad, CI002 Berhad, HL003 Berhad and PB004 Berhad from 2008 to 2017, are examined for predictability results using Double Exponential Smoothing (DES) for Holt’s method and Artificial Neural Network (ANN). The data is partitioned into two parts due to different purposes.A sample data consisting of 96 months data from 2008 to 2015 was used for the estimation
parameter and modeling part. Meanwhile, the evaluation part to validate the DES for Holt’s method and ANN was conducted using out-of-sample data involving 24 months data from 2016 to 2017. Three error measurements, MAD, MSE and RMSE, have been used in the evaluation to compare the performance of these two forecasting methods. The statistical analysis results show that Holt’s method is superior to ANN model and when using real values, it could accurately predict future price movements in the Malaysian stock markets. The outcomes from this study suggest that it is worthwhile to investigate the predictability and profitability of forecasting models |
| first_indexed | 2024-07-04T06:46:46Z |
| format | Article |
| id | uum-30900 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:46:46Z |
| publishDate | 2020 |
| publisher | Academy of Sciences Malaysia |
| record_format | dspace |
| spelling | uum-309002024-06-23T09:10:25Z https://repo.uum.edu.my/id/eprint/30900/ Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets Zaini, Bahtiar Jamili Mansor, Rosnalini Md Yusof, Zahayu Gabda, Darmesah Wong, Kah Seng QA Mathematics Forecasting stock market has been the centre of attraction among investors for a long period of time. Investors are always forecasting their return on investment in the stock market before they start to invest. In this study, to forecast on the stock market price, the monthly closing stock prices data from the Malaysian stock markets, namely AM001 Berhad, CI002 Berhad, HL003 Berhad and PB004 Berhad from 2008 to 2017, are examined for predictability results using Double Exponential Smoothing (DES) for Holt’s method and Artificial Neural Network (ANN). The data is partitioned into two parts due to different purposes.A sample data consisting of 96 months data from 2008 to 2015 was used for the estimation parameter and modeling part. Meanwhile, the evaluation part to validate the DES for Holt’s method and ANN was conducted using out-of-sample data involving 24 months data from 2016 to 2017. Three error measurements, MAD, MSE and RMSE, have been used in the evaluation to compare the performance of these two forecasting methods. The statistical analysis results show that Holt’s method is superior to ANN model and when using real values, it could accurately predict future price movements in the Malaysian stock markets. The outcomes from this study suggest that it is worthwhile to investigate the predictability and profitability of forecasting models Academy of Sciences Malaysia 2020 Article PeerReviewed application/pdf en cc4_by_nc https://repo.uum.edu.my/id/eprint/30900/1/ASJ%2013%202020%2001-05.pdf Zaini, Bahtiar Jamili and Mansor, Rosnalini and Md Yusof, Zahayu and Gabda, Darmesah and Wong, Kah Seng (2020) Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets. ASM Science Journal, 13. pp. 1-5. ISSN 1823-6782 https://www.akademisains.gov.my/asmsj/article/comparison-of-double-exponential-smoothing-for-holts-method/ https://doi.org/10.32802/asmscj.2020.sm26(1.4) https://doi.org/10.32802/asmscj.2020.sm26(1.4) |
| spellingShingle | QA Mathematics Zaini, Bahtiar Jamili Mansor, Rosnalini Md Yusof, Zahayu Gabda, Darmesah Wong, Kah Seng Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets |
| title | Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets |
| title_full | Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets |
| title_fullStr | Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets |
| title_full_unstemmed | Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets |
| title_short | Comparison of Double Exponential Smoothing for Holt’s Method and Artificial Neural Network in Forecasting the Malaysian Banking Stock Markets |
| title_sort | comparison of double exponential smoothing for holt s method and artificial neural network in forecasting the malaysian banking stock markets |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/30900/1/ASJ%2013%202020%2001-05.pdf https://doi.org/10.32802/asmscj.2020.sm26(1.4) |
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