This paper aims at evaluating volatility forecasts for the US Dollar/Mauritian Rupee exchange rate obtained via a GARCH (1,1) model under two distributional assumptions: the Generalized Error Distribution (GED) and the Student’s-t distribution. We make use of daily data to evaluate the parameters of each model and produce volatility estimates. The forecasting ability is subsequently assessed us...

"A common perception among producers (and users) of population projections is that complex and/or sophisticated techniques produce more accurate forecasts than simple and/or naive techniques. In this paper we test the validity of that perception by evaluating the forecast accuracy and bias of eight commonly used projection techniques drawn from...four categories [trend extrapolation, ratio ext...

Age-specific mortality rates are often disaggregated by different attributes, such as sex, state and ethnicity. Forecasting age-specific mortality rates at the national and sub-national levels plays an important role in developing social policy. However, independent forecasts of agespecific mortality rates at the sub-national levels may not add up to the forecasts at the national level. To addr...

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based t...

6 [1] A new approach for developing multimodel streamflow forecasts is presented. The 7 methodology combines streamflow forecasts from individual models by evaluating 8 their skill, represented by rank probability score (RPS), contingent on the predictor state. 9 Using average RPS estimated over the chosen neighbors in the predictor state space, 10 the methodology assigns higher weights for a m...

We study the behavioral processes undergirding physician forecasts, evaluating accuracy and systematic biases in estimates of patient survival and characterizing physicians' loss functions when it comes to prediction. Similar to other forecasting experts, physicians face different costs depending on whether their best forecasts prove to be an overestimate or an underestimate of the true probabi...

The problem of assessing the quality of an operational forecasting system that produces probabilistic forecasts is addressed using information theory. A measure of the quality of the forecasting scheme, based on the amount of a data compression it allows, is outlined. This measure, called ignorance, is a logarithmic scoring rule that is a modified version of relative entropy and can be calculat...

Introduction Conclusions References Tables Figures Back Close Full Screen / Esc Papers published in Hydrology and Earth System Sciences Discussions are under open-access review for the journal Hydrology and Earth System Sciences Abstract Introduction Conclusions References Tables Figures Back Close Full Screen / Esc Abstract In the present paper we describe some methods for verifying and evalua...

A new approach for developing multimodel streamflow forecasts is presented. The methodology combines streamflow forecasts from individual models by evaluating their skill, represented by rank probability score (RPS), contingent on the predictor state. Using average RPS estimated over the chosen neighbors in the predictor state space, the methodology assigns higher weights for a model that has b...