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    The document provides a progress report on probabilistic forecasting models for U.S. Treasury bills. It finds that the classical "no-change" forecast outperforms other point forecasts, while probabilistic forecasts with a 12-month rolling training period perform best. However, probabilistic forecasts of the no-change and constant growth models deviate largely from their point counterparts, and the best function to evaluate average directional accuracy and profit rules under different probabilistic forecasts requires further determination.

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    The document provides a progress report on probabilistic forecasting models for U.S. Treasury bills. It finds that the classical "no-change" forecast outperforms other point forecasts, while probabilistic forecasts with a 12-month rolling training period perform best. However, probabilistic forecasts of the no-change and constant growth models deviate largely from their point counterparts, and the best function to evaluate average directional accuracy and profit rules under different probabilistic forecasts requires further determination.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    26 views2 pages

    Handout

    Uploaded by

    Tambo Tambo
    The document provides a progress report on probabilistic forecasting models for U.S. Treasury bills. It finds that the classical "no-change" forecast outperforms other point forecasts, while probabilistic forecasts with a 12-month rolling training period perform best. However, probabilistic forecasts of the no-change and constant growth models deviate largely from their point counterparts, and the best function to evaluate average directional accuracy and profit rules under different probabilistic forecasts requires further determination.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    of 2

    University of Heidelberg

    Chair for Mathematical Statistics


    Sam Dörken
    16. Dezember 2010

    Progress Report - Probabilistic Forecasting of U.S.


    Treasury Bills

    Point forecasts vs probabilistic forecasts

    Data Summary

    • the results of the data indicate that the classical no-change forecast still
    outperforms the other forecasts
    • the autoregressive forecast performed best, using the root-mean-square
    error, with a 24-month rolling training period
    • the probabilistic forecasts , also using the root-mean-square error, per-
    formed best with a rolling training period of 12 months
    • the no-change and constant rate of growth forecasts deviate largely
    from their probabilistic counterparts, and it is still unclear to me whether
    this makes sense or is due to an error
    • given the predictive distributions of the probabilistic forecasts, I still need
    to determine the best function for the average directional average and the
    prot rules under the Bayes rule for the results to be meaningful
    Root- Root-
    Average Average Mean Mean mean- mean-
    directional directional average average square square
    accuracy (1) accuracy (2) error (1) error (2) error (1) error (2)

    Autoregressive 0.59 0.59 1.17 1.18 1.62 1.58

    No-change 0.37 0.37 0.60 0.61 0.80 0.79

    Constant rate of
    growth 0.61 0.61 1.53 1.56 2.45 2.29

    Forward rate 0.84 0.84 2.14 2.15 3.22 3.20

    Probabilistic no-
    change (12 months) 0.43 0.43 1.55 1.55 1.97 1.97

    Probabilistic constant
    rate (12 months) 0.65 0.65 3.84 3.85 5.80 5.65

    Profit rule A Profit rule B Profit rule C Profit rule D

    Autoregressive -$1,205,958 -$1,315,775 -$1,314,075 -$918,792

    No-change $0 -$636,025 $0 $0

    Constant rate of
    growth -$1,027,250 -$1,202,083 -$1,196,842 -$828,217

    Forward rate -$558,412 -$671,202 -$603,133 -$101,975

    Probabilistic no-
    change (12 months) $94,808 -$83,658 -$83,658 -$271,408

    Probabilistic constant
    rate (12 months) -$869,544 -$845,491 -$613,943 -$512,345

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