Model Accuracy Evaluation Results Sample Clauses

Model Accuracy Evaluation Results. ‌ I used the generated futures prices to calculate four RMSEs. First, I calculated RMSEs of the generated in-sample live hog futures prices. This gives a base model error to compare to the other results. Second, I calculated RMSEs of the generated out-of- sample live hog futures prices. Third, I generated out-of-sample hypothetical lean hog futures prices by using a Kalman Filter model and calculated the RMSEs. Fourth, I generated out-of-sample hypothetical lean hog futures prices using the SUR methods and calculated the RMSEs. Table 6.4 RMSE of generated live hog futures prices RMSE Feb Apr Jun Jul Aug Oct Dec In-sample $/cwt % 0.88 1.88 0.78 1.67 1.32 2.80 1.01 2.15 0.97 2.07 0.89 1.90 1.06 2.26 Out-of-sample $/cwt % 1.48 3.15 2.68 5.70 3.58 7.62 3.64 7.75 4.29 9.13 4.89 10.41 4.87 10.37 Note: RMSE organized by contract month. % RMSE is the $/cwt RMSE divided by the average live hog price during 1996, 46.97 $/cwt, times 100. Table 6.5 RMSE of generated lean hog futures prices RMSE Feb Apr Jun Jul Aug Oct Dec Out-of-sample $/cwt 3.24 2.83 4.67 5.94 8.68 8.00 10.28 Kalman Filter % 4.44 3.88 6.40 8.14 11.89 10.96 14.08 Out-of-sample $/cwt 8.06 7.30 10.4 11.8 15.0 13.9 16.7 SUR % 11.04 10.00 14.24 16.16 20.55 19.04 22.87 Note: RMSE organized by contract month and all contracts were for expiration in 1997. All prices used were on or before 11/29/1996. % RMSE is the $/cwt RMSE divided by the average live hog price during 1996, 73.01 $/cwt, times 100. RMSEs of the in-sample live hog futures are displayed in table 6.4. To allow better comparison of RMSE of live hog futures to RMSE of lean hog futures, RMSE is also shown as a percent of the overall average live hog price during the sample period and organized by contract month. This is a more appropriate measure of comparison because live hog prices are much lower, with an average of 46.97 $/cwt, than lean hog prices, with an average of 73.01 $/cwt. The RMSEs of the out-of-sample live hog futures prices are also shown in table 6.4 organized by contract month. These RMSEs are higher than the RMSEs of the in-sample live hog futures generated. This shows that the model for existing futures will have larger errors when the prices generated are out-of-sample, and motivates the use of these out-of-sample RMSEs in comparison to the RMSEs of the hypothetical lean hog futures prices. It needs to be noted that the generated prices have different out-of-sample lengths. The latest maturity futures prices used in the estimati...