A B D E F G 1 Consider the stock prices below. 2 w N 3 4 a. Visualize the data set. Is this a stationary or non-stationary time series? Why? b. Compute the two day moving average for this time series. Find the forecasts for 2/20/2010 and 2/21/2010. 5 6 7 8 c. Compute the three day weighted moving average for this time series with the following weights: most recent observation: 0.7, second most recent observation: 0.2, and third most recent observation: 0.1. Find the forecasts for 2/20/2010 and 10 2/21/2010 9 11 12 d. Use smoothing constants alpha = 0.4 to develop a forecast for 2/20/2010. Which method provides the better forecast. Explain. 13 14 15 e. Use the MSEs to find the method that provides the best forecasts. Explain. 16 17 000 t 18 19 20 21 22 N N 23 24 25 26 Day 2/10/10 2/11/10 2/12/10 2/13/10 2/14/10 2/15/10 2/16/10 2/17/10 2/18/10 2/19/10 2/20/10 2/21/10 Price 24.10 23.80 23.39 22.90 22.10 22.73 22.60 21.76 22.14 21.69 27 28 29 30 31 32 33 34 35 A B D E F G 1 Consider the stock prices below. 2 w N 3 4 a. Visualize the data set. Is this a stationary or non-stationary time series? Why? b. Compute the two day moving average for this time series. Find the forecasts for 2/20/2010 and 2/21/2010. 5 6 7 8 c. Compute the three day weighted moving average for this time series with the following weights: most recent observation: 0.7, second most recent observation: 0.2, and third most recent observation: 0.1. Find the forecasts for 2/20/2010 and 10 2/21/2010 9 11 12 d. Use smoothing constants alpha = 0.4 to develop a forecast for 2/20/2010. Which method provides the better forecast. Explain. 13 14 15 e. Use the MSEs to find the method that provides the best forecasts. Explain. 16 17 000 t 18 19 20 21 22 N N 23 24 25 26 Day 2/10/10 2/11/10 2/12/10 2/13/10 2/14/10 2/15/10 2/16/10 2/17/10 2/18/10 2/19/10 2/20/10 2/21/10 Price 24.10 23.80 23.39 22.90 22.10 22.73 22.60 21.76 22.14 21.69 27 28 29 30 31 32 33 34 35