Dataset Information

Forecasting stock indices with the COVID-19 infection rate as an exogenous variable.

ABSTRACT: Forecasting stock market indices is challenging because stock prices are usually nonlinear and non- stationary. COVID-19 has had a significant impact on stock market volatility, which makes forecasting more challenging. Since the number of confirmed cases significantly impacted the stock price index; hence, it has been considered a covariate in this analysis. The primary focus of this study is to address the challenge of forecasting volatile stock indices during Covid-19 by employing time series analysis. In particular, the goal is to find the best method to predict future stock price indices in relation to the number of COVID-19 infection rates. In this study, the effect of covariates has been analyzed for three stock indices: S & P 500, Morgan Stanley Capital International (MSCI) world stock index, and the Chicago Board Options Exchange (CBOE) Volatility Index (VIX). Results show that parametric approaches can be good forecasting models for the S & P 500 index and the VIX index. On the other hand, a random walk model can be adopted to forecast the MSCI index. Moreover, among the three random walk forecasting methods for the MSCI index, the naïve method provides the best forecasting model.

SUBMITTER: Patwary MSA

PROVIDER: S-EPMC10495988 | biostudies-literature | 2023

REPOSITORIES: biostudies-literature

ACCESS DATA

Publications

Forecasting stock indices with the COVID-19 infection rate as an exogenous variable.

Patwary Mohammad Saha A MSA Das Kumer Pial KP

PeerJ. Computer science 20230828

Forecasting stock market indices is challenging because stock prices are usually nonlinear and non- stationary. COVID-19 has had a significant impact on stock market volatility, which makes forecasting more challenging. Since the number of confirmed cases significantly impacted the stock price index; hence, it has been considered a covariate in this analysis. The primary focus of this study is to address the challenge of forecasting volatile stock indices during Covid-19 by employing time series ...[more]

PMID: 37705632

Similar Datasets

Project description:BackgroundThe ongoing COVID-19 pandemic hit South America badly with multiple waves. Different COVID-19 variants have been storming across the region, leading to more severe infections and deaths even in places with high vaccination coverage. This study aims to assess the spatiotemporal variability of the COVID-19 pandemic and estimate the infection fatality rate (IFR), infection attack rate (IAR) and reproduction number ([Formula: see text]) for twelve most affected South American countries.MethodsWe fit a susceptible-exposed-infectious-recovered (SEIR)-based model with a time-varying transmission rate to the reported COVID-19 deaths for the twelve South American countries with the highest mortalities. Most of the epidemiological datasets analysed in this work are retrieved from the disease surveillance systems by the World Health Organization, Johns Hopkins Coronavirus Resource Center and Our World in Data. We investigate the COVID-19 mortalities in these countries, which could represent the situation for the overall South American region. We employ COVID-19 dynamic model with-and-without vaccination considering time-varying flexible transmission rate to estimate IFR, IAR and [Formula: see text] of COVID-19 for the South American countries.ResultsWe simulate the model in each scenario under suitable parameter settings and yield biologically reasonable estimates for IFR (varies between 0.303% and 0.723%), IAR (varies between 0.03 and 0.784) and [Formula: see text] (varies between 0.7 and 2.5) for the 12 South American countries. We observe that the severity, dynamical patterns of deaths and time-varying transmission rates among the countries are highly heterogeneous. Further analysis of the model with the effect of vaccination highlights that increasing the vaccination rate could help suppress the pandemic in South America.ConclusionsThis study reveals possible reasons for the two waves of COVID-19 outbreaks in South America. We observed reductions in the transmission rate corresponding to each wave plausibly due to improvement in nonpharmaceutical interventions measures and human protective behavioral reaction to recent deaths. Thus, strategies coupling social distancing and vaccination could substantially suppress the mortality rate of COVID-19 in South America.

Project description:ObjectivesForecasting epidemics like COVID-19 is of crucial importance, it will not only help the governments but also, the medical practitioners to know the future trajectory of the spread, which might help them with the best possible treatments, precautionary measures and protections. In this study, the popular autoregressive integrated moving average (ARIMA) will be used to forecast the cumulative number of confirmed, recovered cases, and the number of deaths in Pakistan from COVID-19 spanning June 25, 2020 to July 04, 2020 (10 days ahead forecast).MethodsTo meet the desire objectives, data for this study have been taken from the Ministry of National Health Service of Pakistan's website from February 27, 2020 to June 24, 2020. Two different ARIMA models will be used to obtain the next 10 days ahead point and 95% interval forecast of the cumulative confirmed cases, recovered cases, and deaths. Statistical software, RStudio, with "forecast", "ggplot2", "tseries", and "seasonal" packages have been used for data analysis.ResultsThe forecasted cumulative confirmed cases, recovered, and the number of deaths up to July 04, 2020 are 231239 with a 95% prediction interval of (219648, 242832), 111616 with a prediction interval of (101063, 122168), and 5043 with a 95% prediction interval of (4791, 5295) respectively. Statistical measures i.e. root mean square error (RMSE) and mean absolute error (MAE) are used for model accuracy. It is evident from the analysis results that the ARIMA and seasonal ARIMA model is better than the other time series models in terms of forecasting accuracy and hence recommended to be used for forecasting epidemics like COVID-19.ConclusionIt is concluded from this study that the forecasting accuracy of ARIMA models in terms of RMSE, and MAE are better than the other time series models, and therefore could be considered a good forecasting tool in forecasting the spread, recoveries, and deaths from the current outbreak of COVID-19. Besides, this study can also help the decision-makers in developing short-term strategies with regards to the current number of disease occurrences until an appropriate medication is developed.

Dataset Information

Forecasting stock indices with the COVID-19 infection rate as an exogenous variable.

Publications

Forecasting stock indices with the COVID-19 infection rate as an exogenous variable.

Similar Datasets

OmicsDI is part of the ELIXIR infrastructure

Tweets