BTS3014 T2,

2013/2014
Lec 03: Exploring data Patterns and Choosing a Forecasting Techniqe
The following shows the S&P 500 and the respective forecast values using
Method 1.
!ate "#P $00
Forecast
%ethod 1
Forecast &ased on 'a()e
%odel
Mar1!!" #$#1!.%" #$13%.%3
&un1!!" #$4##.#' #$#!5.'1
Sep1!!" #$%''.4! #$50#.#"
(ec1!!" #$"3".'! #$""5.%!
Mar1!!' 3$0#!.!' #$!00.51
&un1!!' 3$#40.4' 3$151.!'
Sep1!!' 3$01".14 3$3!1.0'
(ec1!!' 3$41".0' 3$#"".53
Mar1!!! 3$"35.15 3$51#.'0
&un1!!! 3$!4!.4! 3$'35.3#
Sep1!!! 3$''5.#" 4$10%.%1
(ec1!!! 4$1'4.1# 4$1#!.'0
Mar#000 4$#34.45 4$33".05
&un#000 4$315.00 4$4#'.41
*estion 1
a. )alculate the *ean$ M+($ MS( and standard deviation for S&P 500.
,. -hich of these statistics give a *easure of the center of data and which
give a *easure of the spread of data.
*estion 2
a. )o*pute the autocorrelation.
,. Plot the +)/ until lag %.
c. 0s the ti*e series stationar1.
*estion 3
a. 2se the na3ve *ethod to prepare a forecast of S&P 500 for &une 1!!" to &une
#000.
,. Prepare a ti*e series graph of the actual and forecast values 4,oth *ethods5
of S&P500 for the entire period.
c. (eter*ine which *ethods appear to have rando* forecast errors ,1
s6etching each graphicall1.
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BTS3014 T2,
2013/2014
d. )o*pute the M+($ MS7$ MP7 and M+P7. 78plain which *odel is ,est. B1
what criteria.
Lec 04: %o)ing +)erages and ",oothing %ethods
Pages 133135 of )hapter 4$ Business /orecasting$ '
th
7dition ,1 9an6e and
-ichern$ Prentice 9all.
*estion 2
-hich forecasting techni:ue uses the value for the current period as the forecast
for the ne8t period.
*estion 4
-hich forecasting techni:ue4s5 should ,e tried if the data are trending.
*estion $
-hich forecasting techni:ue4s5 should ,e tried if the data are seasonal.
*estion -
+pe8 Mutual /und invests pri*aril1 in technolog1 stoc6s. The prices of fund at
the end of each *onth for the 1# *onths of #003 are given in Ta,le ,elow.
a. /ind the forecast value of the *utual fund for each *onth ,1 using a na3ve
*odel. The value for (ece*,er #00# was 1!.00.
,. 7valuate this forecasting *ethod using M+(.
c. 7valuate this forecasting *ethod using MS7.
d. 7valuate this forecasting *ethod using M+P7.
e. 7valuate this forecasting *ethod using MP7.
f. 2sing a na3ve *odel$ forecast the *utual fund prices for &anuar1 #004.
g. -rite a *e*o su**ari;ing 1our <ndings.
(ata for =uestion %
Month Price
1 1!.3!
# 1'.!%
3 1'.#
4 1".'!
5 1'.43
% 1!.!'
" 1!.51
' #0.%3
! 1!."'
10 #1.#5
11 #1.1'
1# ##.14
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BTS3014 T2,
2013/2014
*estion .
>efer to =uestion %. 2se a three*onth *oving average to forecast the *utual
fund price for &anuar1 #004. 0s this forecast ,etter than the forecast *ade using
the na3ve *odel. 78plain.
*estion /
The 1ield on a general o,ligation ,ond for the cit1 of (avenport ?uctuates with
the *ar6et. The *onthl1 :uotations for #00# are given as ,elow.
a. /ind the forecast value of the 1ield on the o,ligation ,onds for each *onth$
starting with +pril$ ,1 using a three*onth *oving average.
,. /ind the forecast value of the 1ield on the o,ligation ,onds for each *onth$
starting with &une$ ,1 using a <ve*onth *oving average.
c. 7valuate these forecasting *ethods using M+(.
d. 7valuate this forecasting *ethod using MS7.
e. 7valuate this forecasting *ethod using M+P7.
f. 7valuate this forecasting *ethod using MP7.
g. /orecast the 1ield for &anuar1 #003 using the ,est techni:ue.
h. -rite a *e*o su**ari;ing 1our <ndings.
(ata for =uestion !
Month @ield
1 !.#!
# !.!!
3 10.1%
4 10.#5
5 10.%1
% 11.0"
" 11.5#
' 11.0!
! 10.'
10 10.5
11 10.'%
1# !.!"
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2013/2014
*estion 10
This :uestion refers to =uestion !. 2se e8ponential s*oothing with a s*oothing
constant of 0.# and an initial value of !.#! to forecast the 1ield for &anuar1 #003.
0s the forecast ,etter than the forecast *ade using the ,est *oving average
*odel. 78plain.
*estion 1-
(ataA Ta,le =1%.
Month Sales Month Sales
#001M1 430 #00#M1 44#
#001M# 4#0 #00#M# 44!
#001M3 43% #00#M3 45'
#001M4 45# #00#M4 4"#
#001M5 4"" #00#M5 4%3
#001M% 4#0 #00#M% 431
#001M" 3!' #00#M" 400
#001M' 501 #00#M' 4'"
#001M! 514 #00#M! 503
#001M1
0 53#
#00#M1
0 503
#001M1
1 51#
#00#M1
1 54'
#001M1
# 410
#00#M1
# 43#
a5 Plot the sales data as a ti*e series. +re the data seasonal.
,5 2se a na3ve *odel to generate *onthl1 sales forecasts. )o*pute the M+P7.
c5 2se si*ple e8ponential s*oothing with a s*oothing constant of 0.5 and an
initial value of 430 to generate sales forecasts for each *onth. )o*pute the
M+P7.
d5 (o 1ou thin6 either of the *odels in parts , or c is li6el1 to generate accurate
forecasts for future *onthl1 sales. 78plain.
e5 2se -intersB *ultiplicative s*oothing *ethod with s*oothing constant C
C C 0.5 to generate a forecast for &anuar1 #003. Save the residuals.
/orecast for Dan #003C45!."144"
Save the residuals 4actualforecast5

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2013/2014
f5 >efer to part e. )o*pare the M+P7 for -intersB *ethod with the M+P7s in
parts , and c. -hich of the three forecasting procedures do 1ou prefer.
9oltBs winter lowest M+P7
g5 >efer to part e5. )o*pute the autocorrelations 4for si8 lags5 for the residuals
fro* -intersB *ultiplicative procedure. (o the residual autocorrelations
suggest that -intersB procedure wor6s well for these data. 78plain.
How do you know if the method works well? Yes, the m,ethod works well because none of the lag are significant
residuals are random
Lecture 5 Time series decomposition
Y=T**!*" #ultiplicati$e
%& 'emo$e the seasonality
5