A comparison of the forecasting ability of ARIMA models (original) (raw)

This study compares the relative performance of ARIMA models in the forecasting of UK rents across the office, retail and industrial sectors. The performance of each model is assessed both in the estimation phase and out-of-sample. The ranked performance of each of the models is then compared to examine whether the best fitting model also tends to provide the most accurate forecast of future rental movements. The results show that while there is little evidence of a strong positive relationship between estimation and forecast performance, there is also a lack of evidence of a consistent negative relationship. In addition, in the majority of cases all ARIMA variations correctly predict general market movements.