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- W8311419 abstract "Data that is used to forecast in this study is closing prices of Malayan Banking Berhad(MAYBANK). The trend and changes of share prices are studied and observed. Theclosing prices from 3 January 2000 to 29 December 2006 are used for data analysis. Theclosing prices from 3 January 2007 to 31 January 2007 are used for accuracy checking.Bursa Malaysia does not operate on weekend and public holidays. Thus, missing valuesexist and are estimated using Cubic spline interpolation. Five-state Markov chain, sevenstateMarkov chain, nine-state Markov chain and eleven-state Markov chain are beinganalysed. The forecast performances of different states of Markov chain are beingcompared and found that seven-state Markov chain obtained the best results. The betterforecasting tool in forecasting share prices is investigated. ARMA model is betterforecasting tool in forecasting share prices compared to Markov chain. The significancedifference between model with and without missing values is being investigated. It isconcluded that there is significance difference between models with and without missingvalues. Mean absolute percentage error (MAPE) is used in comparisons among themodels." @default.
- W8311419 created "2016-06-24" @default.
- W8311419 creator A5013591414 @default.
- W8311419 date "2008-01-01" @default.
- W8311419 modified "2023-09-26" @default.
- W8311419 title "Forecasting Maybank's share prices using Markov Chain and Arma Model" @default.
- W8311419 hasPublicationYear "2008" @default.
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