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Subject:
Using Excel to predict future results using past data
Category: Business and Money > Accounting Asked by: daveusa-ga List Price: $3.00 |
Posted:
06 Apr 2006 05:27 PDT
Expires: 15 Apr 2006 01:23 PDT Question ID: 716090 |
Hi, I'm a first time user, so apologies if i miss something. I need to calculate (in excel), predicted values for the next 90 days daily returns using data from the previous 90 days returns (given below). I am unable to find out how to do this. I am looking for someone who can calculate the next 90 days returns and tell me how they did it on excel!! DAY RETURN 1 -0.2691 2 -0.0899 3 -0.9901 4 0.3636 5 0.1812 6 0.5425 7 0.2698 8 0.6278 9 1.4260 10 0.4394 11 -0.0875 12 0.1751 13 -0.1748 14 0.1751 15 -0.6993 16 -0.5282 17 -0.3540 18 0.8881 19 0.7923 20 -1.4847 21 -0.3546 22 1.0676 23 0.7042 24 -0.3497 25 1.0526 26 -0.2604 27 -0.2611 28 2.3560 29 -0.0853 30 -1.8771 31 -1.1305 32 -1.0554 33 0.8000 34 0.0882 35 -1.8502 36 -1.6158 37 0.7299 38 -1.1775 39 -1.1916 40 -1.8553 41 1.8904 42 0.1855 43 1.3889 44 0.6393 45 0.9982 46 -1.8868 47 -0.1832 48 2.7523 49 0.5357 50 1.5098 51 2.1872 52 -0.5993 53 1.4643 54 -0.9338 55 -0.5998 56 1.0345 57 1.6212 58 0.5038 59 0.7519 60 -1.1609 61 1.0906 62 1.5768 63 -0.7353 64 -0.0823 65 1.2356 66 -1.1391 67 -0.6584 68 -0.2486 69 -1.0797 70 -0.8396 71 1.4395 72 0.0835 73 -0.5004 74 1.1735 75 -0.0829 76 -0.4146 77 -0.3331 78 -0.3342 79 -0.0838 80 0.7550 81 -0.6661 82 0.5868 83 0.0833 84 0.4996 85 1.1599 86 0.4095 87 0.0000 88 0.1631 89 0.0000 90 -0.4886 |
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There is no answer at this time. |
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Subject:
Re: Using Excel to predict future results using past data
From: owejessen-ga on 06 Apr 2006 09:38 PDT |
I guess no sane person would do this in excel, because it would involve complicated manipulations with matrices. For an open-source-solution have a look at r-project.org. |
Subject:
Re: Using Excel to predict future results using past data
From: hedgie-ga on 06 Apr 2006 19:02 PDT |
The question is also seriously underpriced. Calculation requres naking some assumptions. It would help to describe what kind of returns are involved. |
Subject:
Re: Using Excel to predict future results using past data
From: owejessen-ga on 07 Apr 2006 10:04 PDT |
Well, I'd be so bold and bet on the probable mean of the prediction ;-) Using 90 ticks to predict a further 90 ticks - that's a job for an astrologue. |
Subject:
Re: Using Excel to predict future results using past data
From: redfoxjumps-ga on 08 Apr 2006 01:13 PDT |
There is an irregular wave in your data. It only breaks +2 a couple times. It also goes negative a number of times. Seems to have an upward bias. (Does not break 2 in the negative direction.) A fortune teller might help with predictions Looks like stock market price data. Right? |
Subject:
Re: Using Excel to predict future results using past data
From: daveusa-ga on 08 Apr 2006 02:59 PDT |
many thanks for the comments, yes it is stock market data. (as you can tell) stats is not my forte - i thought maybe there was a function on excel i was unaware of......im trying to get a best estimate of a companies beta in the next 3 months based on their previous 3 months data...thats where i was comin from. |
Subject:
Re: Using Excel to predict future results using past data
From: owejessen-ga on 10 Apr 2006 04:30 PDT |
Why didn't you say so. Calculating the beta is rather straigtforward: You plot the returns of the stock against the returns of the index. Then you add the linear trend, and under options tick "give formula". The beta is the factor in front of the x (something like y=1.21342x + .0213). The correct labels of your excel may differ since I use the German version. NB: Make shure that the index is on the x-axis, else you have to invert the beta. There also is an excel-add-in, that alows to do the regression, something like "analysis functions". HTH |
Subject:
Re: Using Excel to predict future results using past data
From: daveusa-ga on 11 Apr 2006 06:52 PDT |
thanks for the comment owejessen - i had already calculated 'current' betas using regression analysis on excel. this was using historical share price data. i need to find the best estimate of beta in three months time...so a way of estimating future returns is required.... |
Subject:
Re: Using Excel to predict future results using past data
From: owejessen-ga on 12 Apr 2006 02:42 PDT |
If you want to predict 90 ticks and only have a history of 90 ticks, any results will be meaningless. So, you might as well use the historical beta as a predictor for the future beta. You might try to get a longer series and aggregate them to monthly returns. Then you'd only have to predict three points and may calculte the beta for these. |
Subject:
Re: Using Excel to predict future results using past data
From: daveusa-ga on 15 Apr 2006 01:23 PDT |
thanks again owejessen for your comments, things are clearer to me and i now realise the question is not really relevant |
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