Advanced Search
MyIDEAS: Login to save this article or follow this journal

Forecast Quality Matrix: A Methodological Survey of Judging Forecast Quality of Capital Market Forecasts

Contents:

Author Info

  • Peter Andres

    (Hamburg)

  • Markus Spiwoks

    (Bad Soden)

Registered author(s):

    Abstract

    Capital market forecasts sometimes suffer from a too intensive orientation towards the current market situation and lose their future-orientated character. This phenomenon can be referred to as Topical Orientated Trend Adjustment (GOVA). For an individual statistical proof we develop a new instrument called GOVA coefficient. In the second step we combine the GOVA coefficient with the conventional forecast quality measure of Theil's inequality coefficient. The result is the Forecast Quality Matrix. With this instrument, it is possible to verify whether the examined forecast is better or worse than the naive forecast and to exclude Topical Orientated Trend Adjustment. This results in four different possibilities: 1. The forecast considering the future is an ideal case. This forecast is significantly better than a naive forecast and is not influenced by the market situation during the making of the forecast. 2. The quasi-naive forecast is characterized ba a Topical Orientated Trend Adjustment, but is not better than the naive forecast. 3. The wrong forecast does not reflect the past, but unfortunately not even the future. 4. The direction-orientated forecast follows the past, but mostly indicates the correct market trend. This classification facilitates the evaluation of the practicability of forecasts and points out the reasons for a possibly lacking forecast accuracy.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.wiso-net.de/webcgi?START=A60&DOKV_DB=ZWIW&DOKV_NO=ECON310826314&DOKV_HS=0&PP=1
    File Function: Main text
    Download Restriction: Access via GENIOS - German Business Information - http://www.genios.de/r_startseite/index.ein

    File URL: http://search.ebscohost.com/login.aspx?direct=true&db=ecn&AN=0513955&site=ehost-live
    File Function: Main text
    Download Restriction: Access via EBSCOhost Econlit - http://www.ebscohost.com/

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

    Volume (Year): 219 (1999)
    Issue (Month): 5+6 (November)
    Pages: 513-542

    as in new window
    Handle: RePEc:jns:jbstat:v:219:y:1999:i:5-6:p:513-542

    Contact details of provider:
    Postal: Licher Straße 74, 35394 Gießen
    Phone: +49 (0)641 99 22 001
    Fax: +49 (0)641 99 22 009
    Web page: http://wiwi.uni-giessen.de/home/oekonometrie/Jahrbuecher/
    More information through EDIRC

    Related research

    Keywords: Forecast quality measures; topical orientated trend adjustment; forecast quality matrix; GOVA-coefficient; quasi-naive forecast;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:219:y:1999:i:5-6:p:513-542. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Winker).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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