STOCK PRICE FORECAST MODEL OF THE SIAM CEMENT PUBLIC COMPANY LIMITED
Keywords:
SCG, SCC, Forecast, Accuracy Comparison CriteriaAbstract
The objective of this study is to construct an appropriate forecasting model for the stock price time series of Siam Cement Public Company Limited. The monthly average latest prices, which were gathered via http://th.investing.com from January 1995 to December 2021 (324 months) were divided into 2 datasets. The first dataset from January 1995 to December 2020 (312 months) for constructing the forecasting models via the use of statistical methods, as well as, (1) Holt’s exponential smoothing method, (2) Brown’s exponential smoothing method, (3) damped trend exponential smoothing method, and (4) Box-Jenkins method. The second dataset from January to December 2021 (12 months) was used to compare the accuracy of the forecast models via the lowest mean absolute percentage error and root mean squared error. The results indicated that the most accurate method was Holt’s exponential smoothing method, followed by the damped trend exponential smoothing method. However, the forecast values of both methods were reliable because the average forecast values were not significantly different at the 0.05 level.
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