SP500 Forecast Based on ARIMA and ETS Models

Prediction of stock price, as a core issue in the financial sector, is deeply affected by the Federal Reserve's interest rate decision. As an important engine of the world economy, the United States' economic policies and decisions undoubtedly play a pivotal role on the global economic stage. The Fed's rate cut had a profound impact on global capital markets. Under the current macro background of the US interest rate cut, it is particularly critical to study and build an effective stock price forecasting model. In this paper, ARIMA and ETS models are used to predict SP500, and the results show that the RMSE value of ETS model fitting is lower than that of ARIMA model fitting. The ETS model can provide better prediction results in predicting SP500. This paper combines ARIMA and ETS models to provide a new perspective for stock price forecasting and a new idea for stock price forecasting under the background of US interest rate reduction.