Measuring the forecasting accuracy of models: evidence from industrialised countries

Athanasios Koulakiotis and Apostolos Dasilas

International Journal of Monetary Economics and Finance, 2009, vol. 2, issue 1, 44-57

Abstract: This paper uses the approach suggested by Akrigay (1989), Tse and Tung (1992) and Dimson and Marsh (1990) to examine the forecasting accuracy of stock price index models for industrialised markets. The focus of this paper is to compare the Mean Absolute Percentage Error (MAPE) of three models, that is, the Random Walk model, the Single Exponential Smoothing model and the Conditional Heteroskedastic model with the MAPE of the benchmark Naive Forecast 1 case. We do not evidence that a single model to provide better forecasting accuracy results compared to other models.

Keywords: forecasting accuracy; stock price returns; industrialised countries; random walk; stock price index models; single exponential smoothing; conditional heteroskedastic. (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=23065 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:2:y:2009:i:1:p:44-57

Access Statistics for this article

More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().