MANAGERIAL DECISION MAKING

Assignment 2 - Forecasting

Data

This assignment involves time series analysis of either stock prices or exchange rates.  Each person must choose a different stock or exchange rate.  The choice will be on a first-come, first-served basis.  The choices are discussed below:

• Stock prices - Forecast the price of a stock, mutual fund, or a stock index.  One source of the data is Yahoo! Finance.
  
  
• Exchange rates - Forecast the exchange rate for any country.  One source of data is the PACIFIC Exchange Rate Service.

The data should be for the period August 1, 2003 to October 7, 2003.

Analysis

Use your data and a spreadsheet program to forecast the value for your variable for October 31, 2003.  You should apply each of the following techniques:

• Linear trend
  
  
• Quadratic trend
  
  
• Exponential trend
  
  
• An autoregressive model

Comment on the strength of each approach in terms of statistical measures such as the r2, F-test, t-tests, etc.  Which model and forecast do you think is best?

Final Output

Please submit a copy of your analysis along with supporting computer output by Thursday, October 30. If the output is a hard copy, it should be typed on 8 ½ x 11 or A4 paper. Please do not submit the report in a special report cover; a stable in the upper left hand corner would be adequate. The output may also be submitted as an e-mail attachment.