Futures prices when combined with a basis forecast provide a reliable way to forecast cashprices. The most popular method of forecasting basis is historical moving averages. Given therecent failure of longer moving averages proposed by previous studies, this research reassessespast...

Futures prices when combined with a basis forecast provide a reliable way to forecast cash prices. The most popular method of forecasting basis is historical moving averages. Given the recent failure of longer moving averages proposed by previous studies, this research reassesses past...

The question addressed in this study is which length of historical moving average provides the best forecast of futures basis. Differences in observed forecast accuracy among the different moving averages are usually less than a cent per bushel, and most are not statistically significant....