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Tham khảo tài liệu 'real estate modelling and forecasting by chris brooks and sotiris tsolacos_12', tài chính - ngân hàng, đầu tư bất động sản phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Vector autoregressive models 363 Table 11.11 Dynamic VAR forecasts Coefficients used in the forecast equation ARPRETt ASPY t AWt AAAAt Constant -0.0025 -0.0036 -0.0040 -0.0058 ARPRETt-1 0.0548 -0.9120 0.0985 -0.3003 ARPRETt-2 0.0543 0.2825 -0.2192 -0.3176 ASPY t-1 0.0223 0.1092 -0.2280 -0.1792 A.SPY t-2 0.0136 -0.0263 -0.3501 -0.2720 AWt-1 -0.0257 0.0770 0.4401 0.2644 AWt-2 0.0494 -0.0698 -0.2612 -0.1739 AAAAt-1 -0.0070 -0.0003 -0.0706 0.1266 AAAAt-2 -0.0619 0.1158 0.1325 0.0202 Forecasts ARPRETt ASPY t A10Tt AAAAt May 07 -0.0087 -0.0300 0.0600 0.0000 Jun. 07 -0.1015 0.0000 0.3500 0.3200 Jul. 07 -0.0958 -0.0100 -0.1000 -0.0600 Aug. 07 -0.0130 0.0589 -0.0777 -0.0314 Sep. 07 -0.0062 -0.0180 -0.0080 0.0123 Oct. 07 -0.0049 -0.0039 -0.0066 -0.0003 Nov. 07 -0.0044 0.0007 0.0050 0.0031 Dec. 07 -0.0035 0.0000 0.0015 0.0009 Jan. 08 -0.0029 -0.0015 -0.0039 -0.0038 the system. Table 11.11 shows six months of forecasts and explains how we obtained them. The top panel of the table shows the VAR coefficients estimated over the whole-sample period presented to four decimal points so that the forecasts can be calculated with more accuracy . The lower panel shows the VAR forecasts for the six months August 2007 to January 2008. The forecast for ARPRET for August 2007 -0.0130 or -1.3 per cent monthly return is given by the following equation - 0.0025 0.0548 X -0.0958 0.0543 X -0.1015 0.0223 X -0.0100 0.0136 X 0.0000 -0.0257 X -0.1000 0.0494 X 0.3500 -0.0070 X -0.0600 - 0.0619 X 0.3200 364 Real Estate Modelling and Forecasting The forecast for ASPYt for August 2007 - that is the change between July 2007 and August 2007 0.0589 or 5.89 basis points - is given by the following equation - 0.0036 -0.9120 X -0.0958 0.2825 X -0.1015 0.1092 X - 0.0100 - 0.0263 X 0.0000 0.0770 X -0.1000 - 0.0698 X 0.3500 -0.0003 X -0.0600 0.1158 X 0.3200 The forecasts for August 2007 will enter the calculation of the September 2007 figure. This version of the VAR model is therefore a truly dynamic one as the
