TERMIUM Plus®

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SMOOTHING CONSTANT [1 record]

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Record 1 1998-07-13

English

Subject field(s)
  • Economic Conditions and Forecasting
  • Econometrics
CONT

Most moving average calculation methods are unable to compensate for trading range versus trending markets. During trading ranges (when prices move sideways in a narrow range) shorter term moving averages tend to produce numerous false signals. In trending markets (when prices move up or down over an extended period) longer term moving averages are slow to react to reversals in trend. By automatically adjusting the smoothing constant, a variable moving average is able to adjust its sensitivity, allowing it to perform better in both types of markets.

French

Domaine(s)
  • Prévisions et conjonctures économiques
  • Économétrie
CONT

Pour le produit X, la prévision quadratique moyenne la plus faible (20.2) est obtenue quand on utilise le modèle de WINTERS avec trend (les constantes de lissage étant égales à 0.1). Pour Y, c'est le modèle de WINTERS dont le trend est corrigé par des coefficients de saisonnalité variables qui donne l'erreur quadratique la plus petite (57.4 avec des constantes de lissage égales à 0.3).

Spanish

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TERMIUM Plus®, the Government of Canada's terminology and linguistic data bank
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