JMF  Vol.3 No.1 A , March 2013
Price Forecasting and Analysis of Exchange Traded Fund
Abstract: ETFs are baskets of securities designed to track the performance of an index. They are designed to provide exposure to broad-based indexes at a lower cost. We first analyzed why ETF should be the choice for an investment. We provide a brief history of this segment, key attributes of ETFs, and investments strategies and implementations with ETFs. The article then presents data analysis and a series of forecasting methods with data analysis techniques to evaluate the performance of each method. The data analysis and the forecast evaluation is to determine the best forecasting model for a single ETF (SPY). The different techniques considered include single exponential smoothing, Holt’s exponential smoothing, simple linear regression, multiple regression and various versions of Box-Jenkins (ARIMA) models. Based on the evaluation of a decade of past historical data, we provide a guidance for the price of our ETF (SPY) using the multiple regression technique (with an R-square of 98.4%), which produced promising results (with low forecast errors of 1% across several forecast metrics), among the different techniques evaluated. Promising results were also obtained using the Multiple regression technique on several other popularly traded ETF’s.  
Cite this paper: R. Bollapragada, I. Savin and L. Kerbache, "Price Forecasting and Analysis of Exchange Traded Fund," Journal of Mathematical Finance, Vol. 3 No. 1, 2013, pp. 181-191. doi: 10.4236/jmf.2013.31A017.




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