Univariate forecasting comparisons: the case of the Spanish automobile industry

Article Abstract:

The predictive performance of two unobserved component models, namely, the trend model and the periodic or seasonal model, is compared with ARIMA models. The models are applied to the forecasting of Spanish automobile sales. Five forecasting measures are used, namely, the one-step-ahead percentage forecasting error, the aggregate percentage prediction error, the percentage root mean squared error, the percentage mean absolute error and the percentage mean error. No model is found to dominate the others, although the dynamic harmonic regression model under the periodic or seasonal model was seldom the worst option in the short and medium runs.

Forecasting

---

Predicting stock index volatility: can market volume help?

Article Abstract:

Various statistical models are evaluated and compared to determine whether stock market volume can predict stock index volatility. An aggregate of all the stocks on the New York Stock Exchange are used. When measures of lagged market volume are added to the models of stock index volatility there are very few improvements in forecasting performance.

Usage, Forecasts and trends, Stock-exchange, Stock exchanges, Stock price indexes, Statistics, Statistics (Data)

---

Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting

Article Abstract:

A new method for forecasting time series is proposed, based on using bicorrelations and cross-bicorrrelations as nob-linearity tests and focusing on exchange rate returns.

Prices and rates, Foreign exchange, Foreign exchange rates, Time-series analysis, Time series analysis

Similar abstracts:

• Abstracts: Covariance matrix estimation and the power of the overindentifying restrictions test. Incomplete learning from endogenous data in dynamic allocation
• Abstracts: Inflation forecasting for aggregates of the EU-7 and EU-14 with Bayesian VAR models. Alternative regime switching models for forecasting inflation
• Abstracts: On intertemporal preferences in continuous time: the case of certainty. Benefit functions and duality
• Abstracts: Forecasting the price of crude oil via convenience yield predictions. In search of leading indicators of economic activity in Germany
• Abstracts: Testing the rationality of forecast revisions made by the IMF and the OECD. part 2 Are 16-month-ahead forecasts useful? A directional analysis of Japanese GDP forecasts

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.