FORECASTING CORPORATE PERFORMANCE: VECM COMPARISON WITH OTHER TIME SERIES MODELS
Ali F. Darrat
(Professor, Department of Economics & Finance, College of Administration and Business, Louisiana Tech University, Ruston, LA 71272.)
M. Zhong
(Department of Economics & Finance, College of Administration and Business, Louisiana Tech University, Ruston, LA 71272.)
R.M. Shelor
(Associate Professor, Department of Economics & Finance, College of Administration and Business, Louisiana Tech University, Ruston, LA 71272.)
R.N. Dickens
(Associate Professor, Department of Economics & Finance, College of Business, University of South Alabama, Mobile, AL 36688.)
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Abstract
This study uses the Vector Error Correction Model (VECM) to forecast ex post changes in earning and stock prices of six major DOW companies as well as of the S&P 500 market index. Compared to ARIMA and GARCH models, results from four decades of data are supportive of the forecasting ability of the VECM process.
Citation
Darrat, A.F., Zhong, M., Shelor, R.M. and Dickens, R.N. (1998), "FORECASTING CORPORATE PERFORMANCE: VECM COMPARISON WITH OTHER TIME SERIES MODELS", Studies in Economics and Finance, Vol. 19 No. 1/2, pp. 49-61. https://doi.org/10.1108/eb028752
Publisher
:MCB UP Ltd
Copyright © 1998, MCB UP Limited