ETW3420 Principles of Forecasting and Applications
Principles of Forecasting and Applications
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Topic 3 Post-Tutorial Activity
Instructions
Perform and complete the following tasks before answering the Quiz questions on Moodle.
Question 1
Consider the daily closing IBM stock prices (data set ibmclose)
(a) Produce a line chart of the data in order to become familiar with it. Determine if this
is typical of a random walk with or without drift.
(b) Split the data whereby the first 300 observations form the training set, whilst the
remaining observations will form the test set (i.e. the test set begins from the 301st
observation). You should also determine how many observations there are in the test
(c) Using the training set data, produce forecasts for the time periods in the test set by
using the following benchmark methods: Average, Naive and Drift methods. Print the
point forecasts and prediction intervals from these methods.
(d) Which method did best in forecasting?
(e) Check the residuals of your preferred method. Do they resemble white noise?
Instructions
Question 1
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