Title:

Applying block bootstrap methods in silver prices forecasting

Group publication title:

Ekonometria = Econometrics

Title in english:

Wykorzystanie metod block bootstrap w prognozowaniu cen srebra

Creator:

Sroka, Łukasz

Subject and Keywords:

block bootstrap ; price forecasting ; silver futures contracts ; prognozowanie cen ; kontrakty terminowe na srebro

Description:

Econometrics = Ekonometria, 2022, Vol. 26, No. 2, s. 15-29

Abstrakt:

This article focuses on the presentation of the forecasting possibilities of bootstrap methods used to predict prices based on time series. The aim of the paper was to examine the quality of the forecasts made with the methods for silver futures contracts. In order to achieve the intended goal, ex- -post and ex-ante errors for the forecasts prepared by applying bootstrap methods were analysed. The forecasts were calculated using the daily closing prices of the silver futures contracts for the period from 01/07/2020 to 27/03/2022 The analysis showed that the quality of forecasts for each of the presented methods is at a satisfactory level. Moreover, the forecasts calculated using the bootstrap methods were closer to the real performance of the silver futures contracts than the forecasts obtained using the ARMA model (1,1). In addition, it was shown that the forecasts made with the tapered block bootstrap method are less affected by forecast errors than the other analysed methods.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2022

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/eada.2022.2.02

Language:

eng

Relation:

Econometrics = Ekonometria, 2022, Vol. 26, No. 2

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu