Papers by FARAH HAYATI MUSTAPA
Event Study on the Impact of the COVID-19 Outbreak on the Malaysia Stock Market Returns
DOAJ (DOAJ: Directory of Open Access Journals), Oct 1, 2022
Teaching and learning in higher education (TLHE) / Mohd Syafiq Abdul Rahman ... [et al.]
Unit Penerbitan JSKM, Jun 1, 2020
Journal of Physics: Conference Series, 2019
The S&P 500 is a bellwether and leading indicator for the economy as well as the default vehicle ... more The S&P 500 is a bellwether and leading indicator for the economy as well as the default vehicle for passive investors who want exposure to the U.S. economy via index funds. Since 1957, the S&P 500 has performed amazingly, outpacing other leading asset classes such as bonds or commodities. This study seeks to develop an appropriate ARIMA model that best fit the monthly stock price of S&P 500 for a period of 17 years, 2001–2017, thus make a short-term forecast in a way to give an overview and help the investor or portfolio manager in decision making. EViews software was used to run the analysis of the data. Our analysis involved 2-step procedure, which were identifying ARIMA model then fitting GARCH (1,1) into the model. As a result, ARIMA (2,1,2)-GARCH (1,1) model was found to be the best model for forecasting the S&P500 stock prices. The research findings indicate that a dynamic forecast gave a better result compared to a static forecast.
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Papers by FARAH HAYATI MUSTAPA