Forecasting methods for market stock exchange

A goal of the financial sector and of its stakeholders is to estimate the volatility of the stock market. This article proposes a modern approach to solve the problem by means an innovative analysis. The focus of analysis is to improve the estimation of market index carried through a ARIMA model and to estimate the level of influence of every independent variables (commodities and other principal financial variables) on a dependent variables (market index). Furthermore, methods of cluster analysis are used to find similarities in the data and to catalogue the different situations that cause higher volatility