نوع مقاله : پژوهشی

نویسندگان

شهید چمران اهواز

چکیده

پیش‌بینی متغیرهای اقتصادی و مالی اهمیت فراوانی برای سیاست‌گذاران اقتصادی کشورها دارد. در این مقاله ابتدا با استفاده از آزمون براک- دیکرت و شاینکمن (BDS)، به بررسی خطی یا غیرخطی بودن و سپس آشوبناک بودن بازده شاخص کل بورس اوراق بهادار تهران (TEPIX) طی بازه زمانی 05/01/88 تا 23/07/90 (625 مشاهده) پرداخته شد. سپس با استفاده از تکنیک‌های مختلف پیش‌بینی، مدل‌های خطی و غیرخطی ARIMA، GARCH، ANN و ANFIS برآورد شدند و با استفاده از معیارهای دقت پیش‌بینی مانند RMSE،MAE ، U-Thiel و MAPE، مدل ها مورد ارزیابی و مقایسه قرار گرفتند که مدل ANFIS بهترین عملکرد را در پیش‌بینی بازده روزانه شاخص سهام دارا بود. سپس با استفاده از آماره‌ی مورگان-گرنجر- نیوبلد (MGN) معنی‌داری تفاوت دقت پیش بینی مدل‌های غیرخطی با مدل‌های خطی مورد آزمون قرار گرفت که نتایج نشان‌دهنده تفاوت معنی-دار در پیش‌بینی روش‌های خطی و غیرخطی بود.

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