PREreview de Modeling and Forecasting Stock Price Returns of Major Indian It Companies by Using Arima Model
- Publié
- DOI
- 10.5281/zenodo.19521923
- Licence
- CC BY 4.0
The paper using ARIMA needs strong benchmark comparision. Otherwise claims about predictability, investment return, alpha can be easily overstated.
The paper is saying it examines stock price returns and then test stationary of return. If the return is stationary then it should be ARMA instead of ARIMA because integrated part of ARIMA should generally be zero.
The paper is stating it is using daily close price. So how is the return being caluclated. Is the trading being occured at the close of each trading day? And what about dividends and splits? Is it taking into consideration in bid-ask spread, slippage and transaction cost?
And the fact that using 5 tickers and mentioning sector wide characterstics is little too overstated.
Competing interests
The author declares that they have no competing interests.
Use of Artificial Intelligence (AI)
The author declares that they did not use generative AI to come up with new ideas for their review.