Applying Block Bootstrap Methods in Silver Prices Forecasting

• Authors: Łukasz Sroka

Title variants

PL

Wykorzystanie metod block bootstrap w prognozowaniu cen srebra

Abstracts

PL

W artykule skupiono się na zaprezentowaniu możliwości prognostycznych czterech metod bootstrapowych wykorzystywanych do prognozowania cen na podstawie szeregów czasowych. Celem pracy jest przeanalizowanie jakości prognoz stawianych przez prezentowane w artykule metody dla kontraktów terminowych na srebro. Aby go osiągnąć, przeanalizowano błędy prognoz ex post oraz ex ante dla prognoz postawionych przy wykorzystaniu metod bootstrapowych. Prognozy zostały obliczone przy wykorzystaniu dziennych cen zamknięcia kontraktów terminowych na srebro z okresu od 1 lipca 2020 r. do 27 marca 2022 r. Analiza wykazała, że jakość prognoz każdej z prezentowanych metod jest na zadowalającym poziomie, a ponadto prognozy obliczone przy użyciu metod bootstrapowych są bliższe rzeczywistym realizacjom cen kontraktów terminowych na srebro niż prognozy otrzymane przy wykorzystaniu modelu ARMA(1,1). Ponadto wykazano, że prognozy stawiane metodą tapered block bootstrap są najmniej obciążone błędem prognoz.

EN

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.

Keywords

EN

block bootstrap; price forecasting; silver futures contracts

PL

block bootstrap; prognozowanie cen; kontrakty terminowe na srebro

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2022
• Volume: 26
• Issue: 2
• Pages: 15-29

Dates

published

2022

Contributors

author

Łukasz Sroka

• University of Economics in Katowice, Katowice, Poland

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Identifiers

DOI

10.15611/eada.2022.2.02

Biblioteka Nauki

2092507