In: Statistics and Probability
Hi,
Which value of α do you prefer? (Round your answers to 2 decimal places.). It is question C.
Daily Spot Exchange Rate, U.S. Dollars per Pound Sterling | |||||||||||||||||
Date | Rate | Date | Rate | Date | Rate | ||||||||||||
1-Apr-04 | 1.8584 | 13-Apr-04 | 1.7860 | 23-Apr-04 | 1.7874 | ||||||||||||
2-Apr-04 | 1.8363 | 14-Apr-04 | 1.7752 | 26-Apr-04 | 1.7857 | ||||||||||||
5-Apr-04 | 1.8140 | 15-Apr-04 | 1.7785 | 27-Apr-04 | 1.7925 | ||||||||||||
6-Apr-04 | 1.8474 | 16-Apr-04 | 1.8104 | 28-Apr-04 | 1.7720 | ||||||||||||
7-Apr-04 | 1.8410 | 19-Apr-04 | 1.8255 | 29-Apr-04 | 1.7656 | ||||||||||||
8-Apr-04 | 1.8525 | 20-Apr-04 | 1.7816 | 30-Apr-04 | 1.7744 | ||||||||||||
9-Apr-04 | 1.8422 | 21-Apr-04 | 1.7620 | 3-May-04 | 1.7720 | ||||||||||||
12-Apr-04 | 1.8558 | 22-Apr-04 | 1.7794 | 4-May-04 | 1.7507 | ||||||||||||
5-May-04 | 1.7732 | 13-May-04 | 1.7754 | 21-May-04 | 1.7880 | ||||||||||||
6-May-04 | 1.7641 | 14-May-04 | 1.7692 | 24-May-04 | 1.7808 | ||||||||||||
7-May-04 | 1.7942 | 17-May-04 | 1.7595 | 25-May-04 | 1.7535 | ||||||||||||
10-May-04 | 1.7693 | 18-May-04 | 1.7695 | 26-May-04 | 1.8542 | ||||||||||||
11-May-04 | 1.7644 | 19-May-04 | 1.7727 | 27-May-04 | 1.7769 | ||||||||||||
12-May-04 | 1.7743 | 20-May-04 | 1.7610 | 28-May-04 | 1.7730 | ||||||||||||
Click here for the Excel Data File
(b) Perform simple exponential smoothing (using
Excel’s Data Analysis or other software such as Minitab) using
α = .05, .10, .20, and .50.
The degree of smoothing (Click to
select) varies does not
vary dramatically as α is increased.
(c) Which value of α do you prefer?
(Round your answers to 2 decimal places.)
α =
(d) Is exponential smoothing appropriate for this kind of
data?
(Click to select) Yes No
b)
Rate | ES(0.05) = αAt+(1-α)Ft | ES(0.1) = αAt+(1-α)Ft | ES(0.2) = αAt+(1-α)Ft | ES(0.5) = αAt+(1-α)Ft | ES(0.05) Error^2 = (Actual-Predicted)^2 | ES(0.1) Error^2 = (Actual-Predicted)^3 | ES(0.2) Error^2 = (Actual-Predicted)^4 | ES(0.5) Error^2 = (Actual-Predicted)^5 | |
1.8584 | 1.8584 | 1.8584 | 1.8584 | 1.8584 | 0 | 0 | 0 | 0 | |
1.8363 | 1.8584 | 1.8584 | 1.8584 | 1.8584 | 0.00048841 | 0.00048841 | 0.00048841 | 0.00048841 | |
1.814 | 1.857295 | 1.85619 | 1.85398 | 1.84735 | 0.001874457 | 0.001779996 | 0.0015984 | 0.001112223 | |
1.8474 | 1.85513025 | 1.851971 | 1.845984 | 1.830675 | 5.97568E-05 | 2.0894E-05 | 2.00506E-06 | 0.000279726 | |
1.841 | 1.854743738 | 1.8515139 | 1.8462672 | 1.8390375 | 0.00018889 | 0.000110542 | 2.77434E-05 | 3.85141E-06 | |
1.8525 | 1.854056551 | 1.85046251 | 1.84521376 | 1.84001875 | 2.42285E-06 | 4.15137E-06 | 5.30893E-05 | 0.000155782 | |
1.8422 | 1.853978723 | 1.850666259 | 1.846671008 | 1.846259375 | 0.000138738 | 7.16775E-05 | 1.99899E-05 | 1.64785E-05 | |
1.8558 | 1.853389787 | 1.849819633 | 1.845776806 | 1.844229688 | 5.80913E-06 | 3.57648E-05 | 0.000100464 | 0.000133872 | |
1.7732 | 1.853510298 | 1.85041767 | 1.847781445 | 1.850014844 | 0.006449744 | 0.005962569 | 0.005562392 | 0.00590052 | |
1.7641 | 1.849494783 | 1.842695903 | 1.832865156 | 1.811607422 | 0.007292269 | 0.006177316 | 0.004728647 | 0.002256955 | |
1.7942 | 1.845225044 | 1.834836313 | 1.819112125 | 1.787853711 | 0.002603555 | 0.00165131 | 0.000620614 | 4.02754E-05 | |
1.7693 | 1.842673791 | 1.830772681 | 1.8141297 | 1.791026855 | 0.005383713 | 0.003778891 | 0.002009702 | 0.000472056 | |
1.7644 | 1.839005102 | 1.824625413 | 1.80516376 | 1.780163428 | 0.005565921 | 0.0036271 | 0.001661684 | 0.000248486 | |
1.7743 | 1.835274847 | 1.818602872 | 1.797011008 | 1.772281714 | 0.003717932 | 0.001962744 | 0.00051579 | 4.07348E-06 | |
1.786 | 1.832226104 | 1.814172585 | 1.792468806 | 1.773290857 | 0.002136853 | 0.000793695 | 4.18455E-05 | 0.000161522 | |
1.7752 | 1.829914799 | 1.811355326 | 1.791175045 | 1.779645428 | 0.002993709 | 0.001307208 | 0.000255202 | 1.97618E-05 | |
1.7785 | 1.827179059 | 1.807739794 | 1.787980036 | 1.777422714 | 0.002369651 | 0.000854966 | 8.98711E-05 | 1.16054E-06 | |
1.8104 | 1.824745106 | 1.804815814 | 1.786084029 | 1.777961357 | 0.000205782 | 3.11831E-05 | 0.000591266 | 0.001052266 | |
1.8255 | 1.824027851 | 1.805374233 | 1.790947223 | 1.794180679 | 2.16722E-06 | 0.000405047 | 0.001193894 | 0.0009809 | |
1.7816 | 1.824101458 | 1.80738681 | 1.797857778 | 1.809840339 | 0.001806374 | 0.00066496 | 0.000264315 | 0.000797517 | |
1.762 | 1.821976385 | 1.804808129 | 1.794606223 | 1.79572017 | 0.003597167 | 0.001832536 | 0.001063166 | 0.00113705 | |
1.7794 | 1.818977566 | 1.800527316 | 1.788084978 | 1.778860085 | 0.001566384 | 0.000446363 | 7.54288E-05 | 2.91508E-07 | |
1.7754 | 1.816998688 | 1.798414584 | 1.786347983 | 1.779130042 | 0.001730451 | 0.000529671 | 0.000119858 | 1.39132E-05 | |
1.7692 | 1.814918754 | 1.796113126 | 1.784158386 | 1.777265021 | 0.002090204 | 0.000724316 | 0.000223753 | 6.50446E-05 | |
1.7595 | 1.812632816 | 1.793421813 | 1.781166709 | 1.773232511 | 0.002823096 | 0.001150689 | 0.000469446 | 0.000188582 | |
1.7695 | 1.809976175 | 1.790029632 | 1.776833367 | 1.766366255 | 0.001638321 | 0.000421466 | 5.37783E-05 | 9.82036E-06 | |
1.7727 | 1.807952366 | 1.787976669 | 1.775366694 | 1.767933128 | 0.001242729 | 0.000233377 | 7.11126E-06 | 2.27231E-05 | |
1.761 | 1.806189748 | 1.786449002 | 1.774833355 | 1.770316564 | 0.002042113 | 0.000647652 | 0.000191362 | 8.67984E-05 | |
1.7874 | 1.803930261 | 1.783904102 | 1.772066684 | 1.765658282 | 0.00027325 | 1.22213E-05 | 0.000235111 | 0.000472702 | |
1.7857 | 1.803103748 | 1.784253691 | 1.775133347 | 1.776529141 | 0.00030289 | 2.09181E-06 | 0.000111654 | 8.41047E-05 | |
1.7925 | 1.80223356 | 1.784398322 | 1.777246678 | 1.78111457 | 9.47422E-05 | 6.56372E-05 | 0.000232664 | 0.000129628 | |
1.772 | 1.801746882 | 1.78520849 | 1.780297342 | 1.786807285 | 0.000884877 | 0.000174464 | 6.88459E-05 | 0.000219256 | |
1.7656 | 1.800259538 | 1.783887641 | 1.778637874 | 1.779403643 | 0.001201284 | 0.000334438 | 0.000169986 | 0.000190541 | |
1.7744 | 1.798526561 | 1.782058877 | 1.776030299 | 1.772501821 | 0.000582091 | 5.86584E-05 | 2.65787E-06 | 3.60308E-06 | |
1.772 | 1.797320233 | 1.781292989 | 1.775704239 | 1.773450911 | 0.000641114 | 8.63596E-05 | 1.37214E-05 | 2.10514E-06 | |
1.7507 | 1.796054221 | 1.78036369 | 1.774963391 | 1.772725455 | 0.002057005 | 0.000879935 | 0.000588712 | 0.000485121 | |
1.788 | 1.79378651 | 1.777397321 | 1.770110713 | 1.761712728 | 3.34837E-05 | 0.000112417 | 0.000320027 | 0.000691021 | |
1.7808 | 1.793497185 | 1.778457589 | 1.77368857 | 1.774856364 | 0.000161219 | 5.48689E-06 | 5.05724E-05 | 3.53268E-05 | |
1.7535 | 1.792862326 | 1.77869183 | 1.775110856 | 1.777828182 | 0.001549393 | 0.000634628 | 0.000467029 | 0.00059186 | |
1.8542 | 1.790894209 | 1.776172647 | 1.770788685 | 1.765664091 | 0.004007623 | 0.006088268 | 0.006957447 | 0.007838607 | |
1.7769 | 1.794059499 | 1.783975383 | 1.787470948 | 1.809932045 | 0.000294448 | 5.0061E-05 | 0.000111745 | 0.001091116 | |
1.773 | 1.793201524 | 1.783267844 | 1.785356758 | 1.793416023 | 0.000408102 | 0.000105429 | 0.000152689 | 0.000416814 | |
Forecast value | 1.792191448 | 1.78224106 | 1.782885407 | 1.783208011 | |||||
MSE | MSE | 0.0017 | 0.0011 | 0.0008 | 0.0007 |
the degree of smoothing does not vary dramatically as α is increased (there is a little change, not much)
c)
MSE of ES(0.5) is less than others, so prefer ES(0.5)
d)
yes