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Analyzing the Relationship between the Dow Jones Index and Oil Prices Using the ARIMAX Model

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@article{IJASEIT14080,
   author = {Haifa Taha Abd and Ameena Kareem Essa and Firas M. Jassim},
   title = {Analyzing the Relationship between the Dow Jones Index and Oil Prices Using the ARIMAX Model},
   journal = {International Journal on Advanced Science, Engineering and Information Technology},
   volume = {11},
   number = {2},
   year = {2021},
   pages = {465--473},
   keywords = {ARIMA; ARIMAX; Dow Jones; Brent Crude: COVID-19.},
   abstract = {The values prediction of the Dow Jones index is essential in the global financial markets systems. The index provides a clear vision of what is happening in the market as a whole. Hence, it offers integrated information on that index to stipulate forecasts characterized as efficient for investors and shareholders. In this study, the ARIMAX model was used to predict the daily Dow Jones index values from 1/1/2020 to 1/ 5/2020 (the spread of COVID-19), considering Brent crude's effect daily prices as an external factor. The Dow Jones Index daily price prediction process went through several stages. The first stage is the time series stationary test phase through the Augmented Dickey-Fuller test. The second stage is achieving stationary by taking the first difference, passing through the stage of identifying the model, and determining the rank based on criteria (AIC), (BIC), (RMSE). The preference of the model was shown in ARIMA (0,1,2) for the Dow Jones index series. The ARIMA (1,1,0) model was shown for crude price Brent series and determining the order of the transfer function of the  ARIMAX model. The comparison stage between the models ARIMA (0,1,2) and ARIMAX(3,1,1)(0,0,1) by residuals scatter plot and (Ljung-Box) test for each model. The results demonstrated the superiority of the ARIMAX model over the ARIMA model. The daily Dow Jones Index values were predicted based on corresponding Brent crude prices according to the ARIMAX (3,1,1) (0,0,1) model. The researchers did not find substantial differences in the index’s behavior, except for a slight decrease in the index's value.},
   issn = {2088-5334},
   publisher = {INSIGHT - Indonesian Society for Knowledge and Human Development},
   url = {http://ijaseit.insightsociety.org/index.php?option=com_content&view=article&id=9&Itemid=1&article_id=14080},
   doi = {10.18517/ijaseit.11.2.14080}
}

EndNote

%A Taha Abd, Haifa
%A Essa, Ameena Kareem
%A Jassim, Firas M.
%D 2021
%T Analyzing the Relationship between the Dow Jones Index and Oil Prices Using the ARIMAX Model
%B 2021
%9 ARIMA; ARIMAX; Dow Jones; Brent Crude: COVID-19.
%! Analyzing the Relationship between the Dow Jones Index and Oil Prices Using the ARIMAX Model
%K ARIMA; ARIMAX; Dow Jones; Brent Crude: COVID-19.
%X The values prediction of the Dow Jones index is essential in the global financial markets systems. The index provides a clear vision of what is happening in the market as a whole. Hence, it offers integrated information on that index to stipulate forecasts characterized as efficient for investors and shareholders. In this study, the ARIMAX model was used to predict the daily Dow Jones index values from 1/1/2020 to 1/ 5/2020 (the spread of COVID-19), considering Brent crude's effect daily prices as an external factor. The Dow Jones Index daily price prediction process went through several stages. The first stage is the time series stationary test phase through the Augmented Dickey-Fuller test. The second stage is achieving stationary by taking the first difference, passing through the stage of identifying the model, and determining the rank based on criteria (AIC), (BIC), (RMSE). The preference of the model was shown in ARIMA (0,1,2) for the Dow Jones index series. The ARIMA (1,1,0) model was shown for crude price Brent series and determining the order of the transfer function of the  ARIMAX model. The comparison stage between the models ARIMA (0,1,2) and ARIMAX(3,1,1)(0,0,1) by residuals scatter plot and (Ljung-Box) test for each model. The results demonstrated the superiority of the ARIMAX model over the ARIMA model. The daily Dow Jones Index values were predicted based on corresponding Brent crude prices according to the ARIMAX (3,1,1) (0,0,1) model. The researchers did not find substantial differences in the index’s behavior, except for a slight decrease in the index's value.
%U http://ijaseit.insightsociety.org/index.php?option=com_content&view=article&id=9&Itemid=1&article_id=14080
%R doi:10.18517/ijaseit.11.2.14080
%J International Journal on Advanced Science, Engineering and Information Technology
%V 11
%N 2
%@ 2088-5334

IEEE

Haifa Taha Abd,Ameena Kareem Essa and Firas M. Jassim,"Analyzing the Relationship between the Dow Jones Index and Oil Prices Using the ARIMAX Model," International Journal on Advanced Science, Engineering and Information Technology, vol. 11, no. 2, pp. 465-473, 2021. [Online]. Available: http://dx.doi.org/10.18517/ijaseit.11.2.14080.

RefMan/ProCite (RIS)

TY  - JOUR
AU  - Taha Abd, Haifa
AU  - Essa, Ameena Kareem
AU  - Jassim, Firas M.
PY  - 2021
TI  - Analyzing the Relationship between the Dow Jones Index and Oil Prices Using the ARIMAX Model
JF  - International Journal on Advanced Science, Engineering and Information Technology; Vol. 11 (2021) No. 2
Y2  - 2021
SP  - 465
EP  - 473
SN  - 2088-5334
PB  - INSIGHT - Indonesian Society for Knowledge and Human Development
KW  - ARIMA; ARIMAX; Dow Jones; Brent Crude: COVID-19.
N2  - The values prediction of the Dow Jones index is essential in the global financial markets systems. The index provides a clear vision of what is happening in the market as a whole. Hence, it offers integrated information on that index to stipulate forecasts characterized as efficient for investors and shareholders. In this study, the ARIMAX model was used to predict the daily Dow Jones index values from 1/1/2020 to 1/ 5/2020 (the spread of COVID-19), considering Brent crude's effect daily prices as an external factor. The Dow Jones Index daily price prediction process went through several stages. The first stage is the time series stationary test phase through the Augmented Dickey-Fuller test. The second stage is achieving stationary by taking the first difference, passing through the stage of identifying the model, and determining the rank based on criteria (AIC), (BIC), (RMSE). The preference of the model was shown in ARIMA (0,1,2) for the Dow Jones index series. The ARIMA (1,1,0) model was shown for crude price Brent series and determining the order of the transfer function of the  ARIMAX model. The comparison stage between the models ARIMA (0,1,2) and ARIMAX(3,1,1)(0,0,1) by residuals scatter plot and (Ljung-Box) test for each model. The results demonstrated the superiority of the ARIMAX model over the ARIMA model. The daily Dow Jones Index values were predicted based on corresponding Brent crude prices according to the ARIMAX (3,1,1) (0,0,1) model. The researchers did not find substantial differences in the index’s behavior, except for a slight decrease in the index's value.
UR  - http://ijaseit.insightsociety.org/index.php?option=com_content&view=article&id=9&Itemid=1&article_id=14080
DO  - 10.18517/ijaseit.11.2.14080

RefWorks

RT Journal Article
ID 14080
A1 Taha Abd, Haifa
A1 Essa, Ameena Kareem
A1 Jassim, Firas M.
T1 Analyzing the Relationship between the Dow Jones Index and Oil Prices Using the ARIMAX Model
JF International Journal on Advanced Science, Engineering and Information Technology
VO 11
IS 2
YR 2021
SP 465
OP 473
SN 2088-5334
PB INSIGHT - Indonesian Society for Knowledge and Human Development
K1 ARIMA; ARIMAX; Dow Jones; Brent Crude: COVID-19.
AB The values prediction of the Dow Jones index is essential in the global financial markets systems. The index provides a clear vision of what is happening in the market as a whole. Hence, it offers integrated information on that index to stipulate forecasts characterized as efficient for investors and shareholders. In this study, the ARIMAX model was used to predict the daily Dow Jones index values from 1/1/2020 to 1/ 5/2020 (the spread of COVID-19), considering Brent crude's effect daily prices as an external factor. The Dow Jones Index daily price prediction process went through several stages. The first stage is the time series stationary test phase through the Augmented Dickey-Fuller test. The second stage is achieving stationary by taking the first difference, passing through the stage of identifying the model, and determining the rank based on criteria (AIC), (BIC), (RMSE). The preference of the model was shown in ARIMA (0,1,2) for the Dow Jones index series. The ARIMA (1,1,0) model was shown for crude price Brent series and determining the order of the transfer function of the  ARIMAX model. The comparison stage between the models ARIMA (0,1,2) and ARIMAX(3,1,1)(0,0,1) by residuals scatter plot and (Ljung-Box) test for each model. The results demonstrated the superiority of the ARIMAX model over the ARIMA model. The daily Dow Jones Index values were predicted based on corresponding Brent crude prices according to the ARIMAX (3,1,1) (0,0,1) model. The researchers did not find substantial differences in the index’s behavior, except for a slight decrease in the index's value.
LK http://ijaseit.insightsociety.org/index.php?option=com_content&view=article&id=9&Itemid=1&article_id=14080
DO  - 10.18517/ijaseit.11.2.14080