In April 2011, we introduced a new model for Pepco Holdings (POM) and predicted its share to rise. The defining CPI indices were as follows: the index of food away from home (SEFV) and the index of owners' equivalent rent of residence (ORPR). The CPI components are leading by 4 and 5 months, respectively. The best fit model, i.e. the lowermost RMS residual error, between July 2010 and March 2011:
Overall, our prediction from April 2011 was correct and we are going to revise the POM model for Q3 2011 when all relevant CPI readings are available.
F igure 1. Observed and predicted POM share prices.
POM(t) = -2.66SEVF(t-4) +1.06ORPR(t-5) +11.83(t-1990) + 101.35
where POM(t) is the share price in U.S. dollars, t is calendar time.
We predicted that “In the second quarter of 2011, the model foresees a rise by $1.5.” Actual monthly closing price has increased from $18.55 in March to $19.63 in June 2011. The predicted price is well within the high/low monthly bounds, i.e. practically within the uncertainty bounds of the POM price.
0 komentar:
Post a Comment