SARIMAX-Based Framework for S&P 500 Forecasting with Macroeconomic Indicators

This study evaluates the effectiveness of the Seasonal AutoRegressive Integrated Moving Average with eXogenous regressors (SARIMAX) model for forecasting the daily closing prices of the S&P 500 index. The model incorporates a set of exogenous variable

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Published
2025-09-03
DOI
https://doi.org/10.36227/techrxiv.175693608.85863886/v1
Primary Topic
Monetary Policy and Economic Impact
Type
article
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article

SARIMAX-Based Framework for S&P 500 Forecasting with Macroeconomic Indicators

Soumya Banerjee, Noah Rahman, Rasmus Erlemann, Markus Porto et al.
Monetary Policy and Economic Impact
article

SARIMAX-Based Framework for S&P 500 Forecasting with Macroeconomic Indicators

Soumya Banerjee, Noah Rahman, Rasmus Erlemann, Markus Porto, Vincent Liantonio
article en

Abstract

This study evaluates the effectiveness of the Seasonal AutoRegressive Integrated Moving Average with eXogenous regressors (SARIMAX) model for forecasting the daily closing prices of the S&P 500 index. The model incorporates a set of exogenous variable

University of North Carolina at Charlotte (US), Tulane University (US), Central Piedmont Community College (US), Stony Brook University (US)
Openalex Percentile: Top 62%
Monetary Policy and Economic Impact
DOIOpen Access PDFOpenAlex
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