Forecasting the Dow Jones Rate of Change by Using Vector Auto-Regression
Nissim Ben David ()
Journal of Prediction Markets, 2010, vol. 4, issue 1, 1-5
In this paper I used VAR Technique and estimated an equation that enables us to forecast future expected changes in the Dow Jones. Surprisingly, I found that small lags in the Dow Jones are not significant, while very distant lags are significant and can explain a large amount of the variance in the rate of change of the Dow Jones. Comparing actual to fitted values, I found that in 10 out of 11 predictions the forecasts lie within the confidence interval of the prediction.
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
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:buc:jpredm:v:4:y:2010:i:1:p:1-5
Ordering information: This journal article can be ordered from
http://www.predictio ... ex_files/Page418.htm
Access Statistics for this article
Journal of Prediction Markets is currently edited by Leighton Vaughan Williams, Nottingham Business School
More articles in Journal of Prediction Markets from University of Buckingham Press
Series data maintained by Victor Matheson, College of the Holy Cross ().