Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
Zeng Tian () and
Norman Swanson ()
Additional contact information
Zeng Tian: Aeltus Investment Management, Inc.
Studies in Nonlinear Dynamics & Econometrics, 1998, vol. 2, issue 4, pages 1-21
The predictive accuracy of various econometric models, including random walks, vector-autoregressive and vector-error-correction models, are investigated using daily futures prices of four commodities (the S&P 500 index, treasury bonds, gold, and crude oil). All models are estimated using a rolling-window approach, and evaluated by both in-sample and out-of-sample performance measures. The criteria considered include system criteria, where we evaluate multiequation forecasting models, and univariate forecast-accuracy criteria. The five univariate criteria are root mean square error (RMSE), mean absolute deviation (MAD), mean absolute percentage error (MAPE), confusion matrix (CM), and confusion rate (CR). The five system criteria used include the trace of second-moment matrix of the forecast-errors matrix (TMSE), the trace of second-moment matrix of percentage-forecast errors (TMAPE), the generalized forecast-error second-moment matrix (GFESM), and a trading-rule profit criterion (TPC) based on a maximum-spread trading strategy. An in-sample criterion, the mean Schwarz information criteria (MSIC), is also computed. Our results suggest that error-correction models perform better in shorter forecast horizons, when models are compared based on quadratic loss measures and confusion matrices. However, the error-correction models which we consider perform better at all forecast horizons (one to five steps ahead) when models are compared based on a profit-maximization loss function. Further, our error-correction model, where the error-correction term is constructed according to a cost-of-carry equilibrium condition, outperforms our alternative error-correction model, which uses the price spreads as the error-correction term.
References: Add references at CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://www.degruyter.com/view/j/snde.1998.2.4/snde ... .1037.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
Working Paper: Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:bpj:sndecm:v:2:y:1998:i:4:n:6
Ordering information: This journal article can be ordered from
Access Statistics for this article
Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach
More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Series data maintained by Peter Golla ().