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- Title
Midpoint method and accuracy of variability forecasting.
- Authors
He, Ling T.; Hu, Chenyi
- Abstract
This study develops an alternative variability forecastingmethod, themidpoint method. This method, along with the interval computing and OLS lower and upper bound methods in the literature, is applied to predict variability in the stock market and mortgage rates. Results suggest that both the midpoint and interval computingmethods can generate significantly higher accuracy in variability forecasts than the OLS lower and upper bound method. Nonetheless, the midpoint method requires less asymmetric distribution of input data than the interval computing.
- Subjects
BUSINESS forecasting; DIFFERENCES; STOCK exchanges; MORTGAGE rates; DATA distribution; MATHEMATICAL economics; INPUT-output analysis; LEAST squares
- Publication
Empirical Economics, 2010, Vol 38, Issue 3, p705
- ISSN
0377-7332
- Publication type
Article
- DOI
10.1007/s00181-009-0286-6