Forecasting the Nikkei Spot Index with fractional cointegration

Article Abstract:

A study was conducted to investigate the forecasting performance of the statistical, fractionally integrated error correction model as against a number of other models to predict Nikkei spot index and futures prices. It was found that fractional cointegration does not enhance predictive performance when conditional heteroscedasticity is ignored. In point of fact, the vector autoregression model provides the best forecast performance.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Stocks & Other Equity Securities, Models, Japan, Forecasts and trends, Exchanges, Securities, Numerical analysis, Stock price forecasting, Nikkei Dow Jones Industrial Average

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Lead-lag relationship between spot index and futures prices of the Nikkei Stock Average

Article Abstract:

A study was conducted on the lead-lag relationship between the spot index and futures price of the Nikkei Stock Average. An error correction model was used to analyze the interaction in the post-crash period. Results showed that lagged changes in the futures price influence short-term spot index adjustment.

Futures, Spot market, Autoregression (Statistics), Nikkei Dow Jones Industrial Average (Index)

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Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)

Article Abstract:

A method for analyzing the long-range forecasting of an unrestricted AR(1) model is discussed. The model uses ordinary least squares and random walk.

Prediction theory, Global economy

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