The file P12_24.xlsx contains the daily closing prices of Procter & Gamble stock for a one-year period.
a. Use only the 2003 data to estimate an appropriate auto regression model.
b. Next, use the estimated auto regression model from part a to forecast the behavior of this time series for the 2004 dates of the series. Comment on the accuracy of the forecasts over this period.
c. How well does the auto regression model perform in comparison to the random walk model with respect to the accuracy of these forecasts? Explain any observed differences between the forecasting abilities of the two models.

  • CreatedApril 01, 2015
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