The Influence of the Length of the Time Interval on the Accuracy of Stock Price Forecasting

Student: Stepanova Maria

Educational Programme: Financial Engineering (Master)

Final Grade: 8

Year of Graduation: 2019

The purpose of this study is to assess the accuracy of predicting the prices of shares circulating on the Moscow Stock Exchange using the ARMA and GARCH forecasting models, depending on the length of the time interval of the preceding price values. The time series of stock prices of six Russian companies from 10 years to 1 month long were used. The calculations were carried out on the basis of data obtained from the database of the trading and analytical portal finam.ru using the Eviews econometric package. The result of the study is that the accuracy of the prediction of stock prices increases with a reduction in the time interval to a certain threshold, and then tends to decrease.

Full text (added May 27, 2019)

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