Prognosequalitätsmatrix / Forecast Quality Matrix: Ein methodologischer Beitrag zur Beurteilung der Güte von Kapitalmarktprognosen / A Methodological Survey of Judging Forecast Quality of Capital Market Forecasts

Andres Peter and Spiwoks Markus
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Andres Peter: Eppendorfer Weg 271, D-20251 Hamburg, Germany
Spiwoks Markus: Am Haag 38, D-65812 Bad Soden a. Ts. Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, vol. 219, issue 5-6, 513-542

Abstract: Capital market forecasts sometimes suffer from a too intense orientation towards the current market situation and lose their future-orientated character. This phenomenon can be referred to as Topical Orientated Trend Adjustment (GOVA). For an individual statistic proof we develop a new instrument called GOVA coefficient. In a second step we combine the GOVA coefficient with the conventional forecast quality measure of Theil’s inequality coefficient. The result is the Forecast Quality Matrix. With this instrument, it is possible to verify whether the examined forecast is better or worse than the naive forecast and to exclude a Topical Orientated Trend Adjustment. This results in four different possibilities: 1. The forecast considering the future is an ideal case. This forecast is significantly better than a naive forecast and is not influenced by the market situation during the making of the forecast. 2. The quasi-naive forecast is characterized by a Topical Orientated Trend Adjustment, but is not better than the naive forecast. 3. The wrong forecast does not reflect the past, but unfortunately not even the future. 4. The direction-orientated forecast follows the past, but mostly indicates the correct market trend. This classification facilitates the evaluation of the practicability of forecasts and points out the reasons for a possibly lacking forecast accuracy.

Keywords: Forecast quality measure; topical orientated trend adjustment; forecast quality matrix; GOVA coefficient; quasi-naive forecast.; Prognosegütemaß; Gegenwartsorientierte Verlaufsanpassung; Prognosequalitätsmatrix; GOVA-Koeffizient; Quasi-naive Prognose.; Forecast quality measure; topical orientated trend adjustment; forecast quality matrix; GOVA coefficient; quasi-naive forecast. (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:219:y:1999:i:5-6:p:746-748

DOI: 10.1515/jbnst-1999-5-617

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