Forecast properties of family rca models

Joanna Górka

Acta Universitatis Nicolai Copernici, Ekonomia, 2009, vol. 40, 75-86

Abstract: This paper proposes to use RCA models, RCA-MA models, RCA-GARCH models, Sign RCA models, Sign RCA-MA models and Sign RCA-GARCH models to obtain forecasts of conditional mean of returns. There we could find example for metal like: gold, silver, platinum, pallad, foreign exchange rates (USD/PLN, EURO/PLN). For comparison, the forecasts of conditional mean from ARMA-GARCH models were calculated. Calculated forecasts errors out of different models have been compared.

Keywords: RCA; Sign RCA; RCA-MA; Sign RCA-MA; RCA-GARCH; Sign RCA-GARCH; forecasting; forecasting errors. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2009:p:75-86

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