Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10475037 | Journal of Economics and Business | 2005 | 28 Pages |
Abstract
This study evaluates the forecasting ability of implied and econometric forecasting models under statistical and financial evaluation measures. The econometric models outperform the implied model on all criteria. Overall, the exponentially weighted moving average model is the best forecasting model since it produces hedged portfolios with the lowest variance. It also has the ability to time market fluctuations while maintaining minimal capital allocation, and thus enhances profitability when employed as a tool for trading strategies. Our empirical results suggest that firms should explore the use of dynamic statistical forecasting models rather than relying on the implied model.
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Social Sciences and Humanities
Business, Management and Accounting
Strategy and Management
Authors
James Chong,