In: Statistics and Probability
1. The data below show the volume of transactions (in hundreds of thousands) in shares of a corporation over a period of 12 weeks. Using these data, estimate a first-order autoregressive model, and use the fitted model to obtain forecasts of volume for the next 3 weeks.
Week Trading Volume
1 27.8
2 14.6
3 14.4
4 13.8
5 23.4
6 17.8
7 7.2
8 25.3
9 21.8
10 17.2
11 26.5
12 21.5
The estimated first-order autoregressive model is x^t = (?) + (?)xt-1
Using Excel:
Make First order Autoregression model:
First Enter the data:
Now Copy all values from Trading Volume and then paste in 3rd row for first lag or first order:
Then copy data from 3rd row to 13th row and paste to other columns:
Noe use data analysis toolpak of excel:
steps: Data-->Data Analysis-->Regression
Select trading volume in input Y range and lag1 in input X range then click to Ok.
if you are select the data with variable name from two column then tick on the labels
output:
Then estimated first-order autoregressive model is x^t = 21.492 - 0.156*(xt-1)
Now Forcast trading volume for next 3 weeks:
use FORECAST function:
=FORECAST(week, trading volume, lag1)