TIME-SERIES MODELS FORECASTING PERFORMANCE IN THE BALTIC STOCK MARKET
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| Format: | Artículo científico |
| Sprache: | en |
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Vilniaus Universitetas
2013
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| _version_ | 1876479548038578176 |
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| author | Žana Grigaliūnienė |
| author_facet | Žana Grigaliūnienė |
| contents | TIME-SERIES MODELS FORECASTING PERFORMANCE IN THE BALTIC STOCK MARKET Žana Grigaliūnienė Economía y Finanzas Time forecasting series models average ranks forecast errors Contradicting evidence on time-series and fnancial analysts’ forecasting performance calls for further research in emerging markets. Motivation to use time-series models rather than analysts’ forecasts stems fom recent research that reports time-series predictions to be superior to analysts’ forecasts in predicting earnings for longer periods and for small frms that are hardly followed by fnancial analysts, especially in emerging markets. The paper aims to explore time-series models performance in forecasting quarterly earnings for Baltic frms in 2000-2009. The paper uses simple and seasonal random walk models with and without drif, Foster’s, Brown-Rozef’s and Grifn-Wats’ models to forecast quarterly earnings. It also employs the frm-specifc Box-Jenkins methodology to perform time-series analysis for individual frms. Forecasting performance of selected models is compared on the basis of goodness-of-ft statistics. The paper fnds that naïve time-series models outperform premier ARIMA family models in terms of mean percentage errors and average ranks. The fndings suggest that investors use naïve models to form their expectations. 2013 artículo científico 2029-4581 https://www.redalyc.org/articulo.oa?id=692375800007 en http://www.redalyc.org/revista.oa?id=6923 Organizations and Markets in Emerging Economies application/pdf Vilniaus Universitetas Organizations and Markets in Emerging Economies (Lituania) Num.1 Vol.4 |
| format | Artículo científico |
| id | redalyc_692375800007 |
| institution | Redalyc |
| language | en |
| publishDate | 2013 |
| publisher | Vilniaus Universitetas |
| spellingShingle | TIME-SERIES MODELS FORECASTING PERFORMANCE IN THE BALTIC STOCK MARKET Žana Grigaliūnienė Economía y Finanzas Time forecasting series models average ranks forecast errors TIME-SERIES MODELS FORECASTING PERFORMANCE IN THE BALTIC STOCK MARKET Žana Grigaliūnienė Economía y Finanzas Time forecasting series models average ranks forecast errors Contradicting evidence on time-series and fnancial analysts’ forecasting performance calls for further research in emerging markets. Motivation to use time-series models rather than analysts’ forecasts stems fom recent research that reports time-series predictions to be superior to analysts’ forecasts in predicting earnings for longer periods and for small frms that are hardly followed by fnancial analysts, especially in emerging markets. The paper aims to explore time-series models performance in forecasting quarterly earnings for Baltic frms in 2000-2009. The paper uses simple and seasonal random walk models with and without drif, Foster’s, Brown-Rozef’s and Grifn-Wats’ models to forecast quarterly earnings. It also employs the frm-specifc Box-Jenkins methodology to perform time-series analysis for individual frms. Forecasting performance of selected models is compared on the basis of goodness-of-ft statistics. The paper fnds that naïve time-series models outperform premier ARIMA family models in terms of mean percentage errors and average ranks. The fndings suggest that investors use naïve models to form their expectations. 2013 artículo científico 2029-4581 https://www.redalyc.org/articulo.oa?id=692375800007 en http://www.redalyc.org/revista.oa?id=6923 Organizations and Markets in Emerging Economies application/pdf Vilniaus Universitetas Organizations and Markets in Emerging Economies (Lituania) Num.1 Vol.4 |
| title | TIME-SERIES MODELS FORECASTING PERFORMANCE IN THE BALTIC STOCK MARKET |
| topic | Economía y Finanzas Time forecasting series models average ranks forecast errors |
| url | https://www.redalyc.org/articulo.oa?id=692375800007 |