Document Type : Research Paper

Authors

• Mohamad Reza Yeganege
• Rahim Chinipardaz

Abstract

Forecasting in financial markets has always been of intereste for researchers and investors. In particular, forecasting the market indexes is of major importance.  Index forecasting methods in financial markets have been developed along with the development of time series models.  In this paper a specific model for forecasting Tehran exchange price index was proposed based on mixture of experts. The results confirmed the high performance of the proposed model in modeling and forecasting Tehran exchange price index time series.
 
JEL classification: C22, C48, C53

Keywords

• Tehran exchange price index
• Forecasting
• mixture autoregressive model
• mixture of esxperts
• Guassian linear local global neural network