IDEAS home Printed from https://ideas.repec.org/a/buc/jpredm/v4y2010i1p1-5.html
   My bibliography  Save this article

Forecasting the Dow Jones Rate of Change by Using Vector Auto-Regression

Author

Listed:
  • Nissim Ben David

Abstract

In this paper I used VAR Technique and estimated an equation that enables us to forecast future expected changes in the Dow Jones. Surprisingly, I found that small lags in the Dow Jones are not significant, while very distant lags are significant and can explain a large amount of the variance in the rate of change of the Dow Jones. Comparing actual to fitted values, I found that in 10 out of 11 predictions the forecasts lie within the confidence interval of the prediction.

Suggested Citation

  • Nissim Ben David, 2010. "Forecasting the Dow Jones Rate of Change by Using Vector Auto-Regression," Journal of Prediction Markets, University of Buckingham Press, vol. 4(1), pages 1-5, May.
    • Handle: RePEc:buc:jpredm:v:4:y:2010:i:1:p:1-5
    as

    Download full text from publisher

    File URL: http://www.ingentaconnect.com/content/ubpl/jpm/2010/00000004/00000001/art00001
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:buc:jpredm:v:4:y:2010:i:1:p:1-5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dominic Cortis, University of Malta (email available below). General contact details of provider: http://www.ubpl.co.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.