This research applied ARMAX methodology for forecasting the revenue of companies in the Brazilian steel industry market. Thus, the article sought to highlight the relationship between future revenues through the data of interest rates, economic growth and inflation rate, as well as its own revenue lagged. Analysis was employed with four companies: CSN, Gerdau, Usiminas and Vicunha. The sample period extended from the second quarter of 2002 to the last quarter of 2010. For each of these companies, 6480 different structures were estimated, and those containing the best information criteria (AIC) were selected. The study shows that, in fact, the past data are relevant to predict the future revenues of enterprises. Moreover, the main exogenous variable of ARMAX was interest rate - represented by the SELIC rate, followed by GDP and inflation rate. This dynamics could help managers, investors and market analysts to manage their assets better.
ARMAX; Revenue forecast; Macroeconomic factors; Steel industry
