Comparing of Econometric and Expert Forecasts for Financial Indicators Dynamics
Abstract
In the article, on the base of MICEX Index a comparison of different forecasting methods is proposed: time series econometric and expert forecasts are compared. An assumption of better accuracy of expert forecasts in the situation of dramatic trend change is examined. Different methods of aggregating individual forecasts are used as a way to increase forecasts quality. Basic principles of forecast quality evaluation using its statistical characteristics are analyzed.
Keywords:
forecasting, econometric models, expert forecasts, aggregating forecasts
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Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.