Optimal Length of Moving Average to Forecast Futures Basis
AbstractThe question addressed in this study is which length of historical moving average provides the best forecast of futures basis. Differences in observed forecast accuracy among the different moving averages are usually less than a cent per bushel, and most are not statistically significant. Further, the search for an optimal length of moving average may be futile since the optimal length depends on how much structural change has occurred. Our recommendation is to use moving averages when there has been no structural change and to use last yearâ€™s basis or an alternative approach if the forecaster perceives that a structural change has occurred.
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Bibliographic InfoArticle provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.
Volume (Year): 35 (2010)
Issue (Month): 1 (April)
basis forecast; grain; Law of One Price; moving averages; structural change; Marketing;
Other versions of this item:
- Hatchett, Robert B. & Brorsen, B. Wade & Anderson, Kim B., 2009. "Optimal Length of Moving Average to Forecast Futures Basis," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53048, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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