Enhancing Interval Forecasting Accuracy of Iraqi Stock Market Prices based on v-support vector regression

Stock price forecasting poses significant challenges due to non-stationarity, nonlinearity, and noise in financial markets, particularly for the Iraqi stock exchange. This study proposes an enhanced interval-valued forecasting model for daily prices of the national chemical and plastic industry (WSKB) company (2020–2025) using v-support vector regression (VSVR) with hyperparameters optimized via the coati optimization algorithm (COA). Interval time series are constructed from lower and upper price bounds, modeling center and radius components to capture uncertainty more effectively than point forecasts. The COA approach tunes key VSVR parameters through population-based exploration and exploitation phases inspired by coati hunting behaviors, outperforming grid search (GS-VSVR) and cross-validation (CV-VSVR). On training data (637 days), COA-VSVR achieves superior metrics for center (MAE=0.158, RMSE=0.253, DA=0.665, R²=0.965) and radius (MAE=0.169, RMSE=0.264, DA=0.642, R²=0.957) compared to baselines; testing results (308 days) confirm robustness. Further, Diebold-Mariano tests validate center-based COA-VSVR superiority over radius-based at 95% confidence (p<0.05). Visualizations and error reductions demonstrate the model's practical value for risk-aware investment in volatile emerging markets.

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Publication Details

Journal
Statistics, Optimization & Information Computing (University of Cambridge)
Published
2026-02-21
DOI
https://doi.org/10.19139/soic-2310-5070-3316
Primary Topic
Stock Market Forecasting Methods
Type
article
Field-Weighted Citation Impact
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article

Enhancing Interval Forecasting Accuracy of Iraqi Stock Market Prices based on v-support vector regression

Zakariya Yahya Algamal, Noor Adnan Abdullah
Statistics, Optimization & Information Computing (University of Cambridge)
Stock Market Forecasting Methods
article

Enhancing Interval Forecasting Accuracy of Iraqi Stock Market Prices based on v-support vector regression

Zakariya Yahya Algamal, Noor Adnan Abdullah
article en

Abstract

Stock price forecasting poses significant challenges due to non-stationarity, nonlinearity, and noise in financial markets, particularly for the Iraqi stock exchange. This study proposes an enhanced interval-valued forecasting model for daily prices of the national chemical and plastic industry (WSKB) company (2020–2025) using v-support vector regression (VSVR) with hyperparameters optimized via the coati optimization algorithm (COA). Interval time series are constructed from lower and upper price bounds, modeling center and radius components to capture uncertainty more effectively than point forecasts. The COA approach tunes key VSVR parameters through population-based exploration and exploitation phases inspired by coati hunting behaviors, outperforming grid search (GS-VSVR) and cross-validation (CV-VSVR). On training data (637 days), COA-VSVR achieves superior metrics for center (MAE=0.158, RMSE=0.253, DA=0.665, R²=0.965) and radius (MAE=0.169, RMSE=0.264, DA=0.642, R²=0.957) compared to baselines; testing results (308 days) confirm robustness. Further, Diebold-Mariano tests validate center-based COA-VSVR superiority over radius-based at 95% confidence (p<0.05). Visualizations and error reductions demonstrate the model's practical value for risk-aware investment in volatile emerging markets.

Statistics, Optimization & Information Computing (University of Cambridge)
Industry, innovation and infrastructure
Openalex Percentile: Top 50%
Stock Market Forecasting Methods
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