Sökning: "mean forecast errors"

Visar resultat 1 - 5 av 37 uppsatser innehållade orden mean forecast errors.

1. 1. Are Distributional Variables Useful for Forecasting With the Phillips Curve?

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Elsa Rosengren; Pippa Johns; [2024]
   Nyckelord :Distributional Variables; Heterogeneous Agents; Inflation; Phillips Curve; Inequality;

   Sammanfattning : Does information on the distribution of wealth and income help us forecast aggregate macroeconomic variables? In this thesis, we study how adding such distributional variables to a standard forecasting model affects the forecast accuracy, in the context of inflation forecasting. Using the simulated inflation forecasting approach of Atkeson and Ohanian (2001), we perform a horse race between a textbook NAIRU Phillips curve to an extension augmented with variables from the wealth and income distributions. LÄS MER

3. 2. Forecasting Volatility of Ether- An empirical evaluation of volatility models and their capacity to forecast one-day-ahead volatility of Ether

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Johannes Marmdal; Adam Törnqvist; [2023-06-29]
   Nyckelord :Forecast; Volatility; Ether; GARCH; EWMA; SMA;

   Sammanfattning : This study evaluates the performance of volatility models in forecasting one-day-ahead volatility of the cryptocurrency Ether. The selected models are: GARCH, EGARCH, GJR-GARCH, SMA9, SMA20, and EWMA. We investigate both in-sample performance and out-of-sample performance. LÄS MER

4. 3. Short-term forecasting Swedish annual real GDP growth using SARIMA models : A study in forecasting current year Swedish annual real GDP growth using SARIMA models with the Box-Jenkins methodology as a general framework

   Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

   Författare :Mark Becker; [2023]
   Nyckelord :SARIMA; ARIMA; ARMA; Box-Jenkins; Real GDP; MAE;

   Sammanfattning : Simulated current year annual real GDP growth forecasts for 2015-2021 are made using a chosen SARIMA model, with the Box-Jenkins methodology as a general modelling framework. The forecasts are compared to the actual outcomes and the Absolute Errors (AE) and the Mean Absolute Errors (MAE) are calculated for each year. LÄS MER

5. 4. Forecasting gold returns using principal component analysis from a large number of predictors

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

   Författare :Fredrik Allgén; [2023]
   Nyckelord :Forecasting; PCA; Gold; ARMA; Business and Economics;

   Sammanfattning : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. LÄS MER

7. 5. Forecasting gold returns using principal component analysis from a large number of predictors

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Fredrik Allgén; [2022]
   Nyckelord :Forecasting; Gold; Principal Component Analysis; ARMA; Business and Economics;

   Sammanfattning : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. LÄS MER