文章基本信息

标题：FORECASTING CAPABILITY OF THE TIME SERIES MODELS BEFORE AND AFTER THE ADOPTION OF THE IFRS IN BRAZIL
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作者：Rafael Confetti Gatsios ; Fabiano Guasti Lima
期刊名称：Asian Journal of Business and Management Sciences
电子版ISSN：2047-2528
出版年度：2013
卷号：3
期号：07
页码：25-33
出版社：Society for Business Research Promotion
摘要：This research approaches two research fields aiming to verify, in the Brazilian case, whether the adoption of international accounting standards (IFRS) and the consequent reduction of information asymmetry are contributing for the improvement of forecasting capability of assets in the capital markets. The studied will be carried out by using analyses of ARIMA, ARCH and GARCH time series for the IBOVESPA in the period ranging from 2004 to 2012, aiming to check the effect of accounting international standards in the suitability of forecasting models for the Brazilian capital market. The models suitability was verified by the forecasting error statistics: MAPE (Mean Absolute Percentage Error); RMSE (Root Mean Square Error) and TIC (Theil Inequality Coefficient). The results indicate that after the adoption of international standards, the forecasting models presented greater suitability in the period after the adoption of international standards. Full Text