Modeling and Comparing S&P 500, FTSE and SSEC Stock Price with ARIMA Model

Ruichen Xu

doi:10.6981/FEM.202506_6(6).0008

Authors

Ruichen Xu

DOI:

https://doi.org/10.6981/FEM.202506_6(6).0008

Keywords:

Time Series; ARIMA; Stock Price Index; Forecasting.

Abstract

S&P 500, FTSE and SSEC are respectively leading indicator in The United States, The United Kingdom and People’s republic of China’s stock market. In addition, auto regressive integrated moving average (ARIMA) model is an important time series model which has been used for long time. This study aims to find out best parameters of each ARIMA model of each data and to build up an appropriate ARIMA model which best fit the daily stock closed price of S&P 500, FTSE and SSEC by using daily stock closed price in ten years, from 2015 to 2024. By using each best ARIMA model of each stock price, compare the accuracy of ARIMA Model on forecasting stock price in three different countries’ stock market, finding whether ARIMA Model’s validity varies as country changes. To analyze those data, this study will use EViews to develop best ARIMA model of each stock closed price data. This study will contain three main parts, ARIMA model selection, accuracy of forecasting test and comparison of accuracy of ARIMA model on different stock market. This study indicates that there actually are differences on ARIMA model’s validity between United Kingdom, United States and China.

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