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Forecasts of the 2011-BDI Using the ARIMA-Type Models  

Mo, Soo-Won (목포대학교 경영대학)
Publication Information
Journal of Korea Port Economic Association / v.26, no.4, 2010 , pp. 207-218 More about this Journal
Abstract
The purpose of the study is to predict the shipping business during the period of 2011 using the ARIMA-type models. This include the ARIMA and Intervention-ARIMA models. The multivariate cause-effect econometric model is not employed for not assuring a higher degree of forecasting accuracy than the univariate variable model. Such a cause-effect econometric model also fails in adjusting itself for the post-sample. This article introduces the four ARIMA models and six Intervention-ARIMA models. The monthly data cover the period January 2000 through October 2010. The out-of-sample forecasting performance is compared between the ARIMA-type models and the random walk model. Forecasting performance is measured by three summary statistics: root mean squared percent error, mean absolute percent error and mean percent error. The root mean squared percent errors of all the ARIMA-type models are somewhat higher than normally expected. Furthermore, the random walk model outperforms all the ARIMA-type models. This reveals that the BDI is just a random walk phenomenon and it's meaningless to predict the BDI using various econometric techniques. The ARIMA-type models show that the shipping market is expected to be bearish in 2011. These pessimistic ex-ante forecasts are supported by the Hodrick-Prescott filtering technique.
Keywords
BDI; Intervention-ARIMA; Hodrick-Prescott; ARIMA;
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