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Starica, Catalin; Granger, Clive - EconWPA - 2004

The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...

Persistent link: https://www.econbiz.de/10005119176

The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico

Ramos, Carlos A. Rodríguez - EconWPA - 2003

In this work the P* model is used to analyze and forecast the inflation rate in the economy of Puerto Rico. This model is based on two essential points: the first one is to identify the inflationary potential of an economic system through the estimation of the price level to which the inflation...

Persistent link: https://www.econbiz.de/10005556397

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...

Persistent link: https://www.econbiz.de/10005134650

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

Persistent link: https://www.econbiz.de/10005407908

STOCK MARKET VALUATION IN THE UNITED STATES

BISCIARI, Patrick; DURRE, Alain; NYSSENS, Alain - EconWPA - 2003

This paper gives an overview of some issues related to market aluation, focusing on the developments on the New York equity markets. The 42.4 p.c. fall in the S&P 500 price index between 24 March 2000 - when it reached its all-time high - and 31 December 2002 is situated in a very long term...

Persistent link: https://www.econbiz.de/10005125064

A Framework for Forecasting the Components of the Consumer Price

Aron, Janine; Muellbauer, John; Pretorius, Coen - EconWPA - 2004

Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates, or CPIX) for South Africa are modeled separately...

Persistent link: https://www.econbiz.de/10005062419

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Bragoudakis, Zacharias - EconWPA - 2005

This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public expenditure as suggested by the economic theory....

Persistent link: https://www.econbiz.de/10005556281

Forecasting Industrial Production and the Early Detection of Turning Points

Bruno, Giancarlo; Lupi, Claudio - EconWPA - 2001

In this paper we propose a simple model to forecast industrial production in Italy. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from a trading days- and outlier-robust ARIMA model used as a benchmark. We show that the use of...

Persistent link: https://www.econbiz.de/10005556310

VAR Priors: Success or lack of a decent macroeconomic theory?

Ramos, Francisco F. R. - EconWPA - 1996

The purpose of this paper is to demonstrate that the success of the Litterman prior in VAR forecasting is not due to the realism of the prior, but rather because the prior conveniently reduces forecast error variance in common cases of misspecification. Specifically, it is shown that the...

Persistent link: https://www.econbiz.de/10005556380

What causes the forecasting failure of Markov-Switching models? A Monte Carlo study

Bessec, Marie; Bouabdallah, Othman - EconWPA - 2005

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying...

Persistent link: https://www.econbiz.de/10005556398

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