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Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis

Author

Listed:
  • Dean Fantazzini

    (Moscow School of Economics - Moscow State University)

Abstract

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009 - 09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite well, moving inside the forecast confidence bands for over a year. Interestingly, it is also found that the confidence bands worked very good as resistance levels, while the forecasted values as support levels. Moreover, an important turning point in April 2010 was also correctly forecasted. However, in July-August 2010, the SP500 started to diverge upwards, and after the speech by the FED Chairman at Jackson Hole (Wyo., USA) on the 27/08/2010, the stock market index never returned inside the forecast confidence bands. Additional evidence is then provided to show that the anti-bubble started in October 2007 ended almost three years later in August 2010, similarly to the first anti-bubble on the SP500, which started in August 2000 and ended in August 2003.

Suggested Citation

  • Dean Fantazzini, 2011. "Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3259-3267.
    • Handle: RePEc:ebl:ecbull:eb-11-00391
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    References listed on IDEAS

    as
    1. Zhou, Wei-Xing & Sornette, Didier, 2005. "Testing the stability of the 2000 US stock market “antibubble”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 428-452.
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    More about this item

    Keywords

    Log-periodic models; LPPL; Crash; Anti-Bubble; Long-term Forecasting; Out-of-sample Forecasting; GARCH; Ex-post Analysis; SP500; FED.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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