Modelling Price Movements of Stock-Based Futures Contracts with Time Series: Tupraş Example

Authors : Ahmet Akusta, Musa Gün

Pages : 655-671

View : 54 | Download : 96

Publication Date : 2025-06-30

Article Type : Research Paper

Abstract :This study investigates the modelling of price movements in stock-based futures contracts by applying advanced time series techniques, using the Tupraş futures as a case study. Recognizing the limitations of traditional ARIMA models in capturing the complexities of financial markets, the research develops an extended ARIMAX framework that incorporates key exogenous variables such as stock prices, market indices, exchange rates, interest rates, and inflation. The dataset spans from January 2017 to August 2023 with monthly observations. Data preprocessing, exploratory analysis, and stationarity test steps were applied to obtain robust and reliable estimates. Empirical results reveal that the ARIMAX model significantly outperforms the baseline and optimized ARIMA models, as indicated by improved accuracy metrics, including RMSE, MSE, R², AIC, and BIC. This research contributes to financial econometrics by demonstrating the explanatory power of exogenous-driven models in volatile and structurally complex markets such as energy derivatives.
Keywords : ARIMAX Modeli, Vadeli İşlem Sözleşmeleri Tahmini, Zaman Serisi Analizi, Dışsal Değişkenler, Ekonomik Göstergeler

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