Forecasting Financial Markets Indicators

DFM Index Case Study

Abstract

This study aims to estimate the Dubai Financial Market index during the time period
from 03 January 2022 to 31 January 2024 in order to predict the future values of the index, as the
method of random time series conditional on the Heteroskedasticity of error variations was used.
The results of the study showed that the index is predictable in the short term, and the best model
that can represent observations is the model ARIMA (1,1,1) – GARCH (1,1).