Anon

187

Figure 9.3

S&P 500 Weekly Forecasts with Actual Returns

S&P 500 is the realized weekly returns. The FORECAST_AR1 reported in the figure denotes the forecasts generated by the AR(1) model. The FORECAST_MA1 denotes the forecasts generated by the MA(1) model, while the FORECAST_AR3MA2 denotes the forecasts generated by the ARMA(3,2) model.

2012

0.04 0.03 0.02 0.01 0.00 –0.01 –0.02 –0.03

S&P 500FORECAST_AR1FORECAST_MA1FORECAST_AR3MA2 JF

M

A

M

J

JA

S

ON

D

Return Forecasts