Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329499 
Year of Publication: 
2025
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 13 [Issue:] 8 [Article No.:] 219 [Year:] 2025 [Pages:] 1-25
Publisher: 
MDPI, Basel
Abstract: 
This study applies Gradient Boosting Machines (GBMs) and principal component regression (PCR) to forecast the closing price of the Johannesburg Stock Exchange (JSE) All-Share Index (ALSI), using daily data from 2009 to 2024, sourced from the Wall Street Journal. The models are evaluated under three training-testing split ratios to assess short-term forecasting performance. Forecast accuracy is assessed using standard error metrics: mean absolute error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE), and mean absolute scaled error (MASE). Across all test splits, the GBM consistently achieves lower forecast errors than PCR, demonstrating superior predictive accuracy. To validate the significance of this performance difference, the Diebold-Mariano (DM) test is applied, confirming that the forecast errors from the GBM are statistically significantly lower than those of PCR at conventional significance levels. These findings highlight the GBM's strength in capturing nonlinear relationships and complex interactions in financial time series, particularly when using features such as the USD/ZAR exchange rate, oil, platinum, and gold prices, the S&P 500 index, and calendar-based variables like month and day. Future research should consider integrating additional macroeconomic indicators and exploring alternative or hybrid forecasting models to improve robustness and generalisability across different market conditions.
Subjects: 
all-share index
financial market
Gradient Boosting Machines
Johannesburg Stock Exchange
machine learning
time-series predictions
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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