forecast error

  1. H

    Need Help With Forecasting Analysis

    Greetings experts, I need advice regarding what kinds of forecasting methods I should use along with what kind of statistical distributions I can use to test my data. As of now, some forecasting methods I know are Holt's Method, Exponential Smoothing and forecasting error methods such as MAD...
  2. E

    Residual Modelling and Generating Scenarios for variables

    newbie here with a trivial question. i am trying to create scenarios on a set of macro variables. i started with creating a bayesian VAR model on insample data and created some forecasts. then took the residuals from the model and used copula to find the joint distribution from the marginal...
  3. L

    Forecast Analysis Inquiry

    Im trying to perform some time series analysis on 2015 and 2016 monthly recorded data to see what method is best for forecasting 2016 monthly values for the remainder of the year. The data has an annual cycle and I already have values for the first 9 months out of 2016. Using Winter's method, I...
  4. A

    Calculating forecast error for a long-term volatility forecast

    Hi, I am trying to calculate the forecast standard error for a long-term volatility forecast of a time series. I am simply using the unbiased estimator of the historical volatility of the time series as my forecast. The historical time series is monthly frequency with approximately 360 data...
  5. S

    What is the probability people are forecasting correctly with standard spreadsheets?

    It seems that many people are using standard spreadsheets to forecast, getting correlation coefficients, etc. However I decided I needed to write my own computer program so I could work out the likelyhood of the forecasting being correct. 1) If there is not sufficient correlation then...
  6. C

    ARMA one step ahead forecast and forecast error

    For a ARMA(1,1) process with constant \theta is X_t=\alpha X_{t-1}+\theta +Z_t+\beta Z_{t-1} where Z_T is white noise with mean 0 and variance\sigma ^2. 1)Find the one step ahead forecast 2)Find the expected value and variance of one step ahead forecast error Here's what I did...
  7. T

    Optimization of variables with significantly different standard errors.

    Hi everyone! I have some issues related to the title at hand, and hopefully you guys can help. Sorry for the long post. I have forecasted mean variance data given to me for about 10 different variables. I need to optimize those variables. I have historical data for those 10 different...