Os modelos ARIMA e a abordagem de Box-Jenkins: uma aplicação na previsão do IBOVESPA a curtíssimo prazo

Abstract

This paper reviews the Autorregressive - Moving Average Models and compares them with the traditional methods known by the term "technical analysis". The Box-Jenkins approach is presented next and its four steps - ldentification, Estimation, Checking and Forecasting - are reviewed.Finally, it is shown how this technique is easily implemented with satisfactory results in the modelling and forecasting of the lndex of the Bolsa de Valores de São Paulo (BOVESPA).