The Grey Forecasting Model On The Systematic Risk Estimation: An Example Of The Dow Jones Industry Index- Component Stocks
In the finance studies, a grey forecasting model was first used in the VAR model intending to eliminate noise, increase accuracy of forecasting stocks' prices. The results showed that Grey forecasting model could capture the securities' price impulse, making prices discovering process stable. The out-of-the-period forecasting accuracy has also been increased. The author discussed seasonality about Chinese Festival in Taiwan's Security Market using Grey Forecasting Model. The result showed that the forecasting accuracy was better than that of the Moving Average Model.