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


  • Nissim Ben David


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.

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  • 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

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    1. Manski, Charles F., 2006. "Interpreting the predictions of prediction markets," Economics Letters, Elsevier, vol. 91(3), pages 425-429, June.
    2. Charles R. Plott & Jorgen Wit & Winston C. Yang, 2003. "Parimutuel betting markets as information aggregation devices: experimental results," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 22(2), pages 311-351, September.
    3. Glenn W. Harrison & Eric Johnson & Melayne M. McInnes & E. Elisabet Rutström, 2005. "Risk Aversion and Incentive Effects: Comment," American Economic Review, American Economic Association, vol. 95(3), pages 897-901, June.
    4. Urs Fischbacher, 2007. "z-Tree: Zurich toolbox for ready-made economic experiments," Experimental Economics, Springer;Economic Science Association, vol. 10(2), pages 171-178, June.
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