Forecasting Performance of Lumber Futures Prices

<table class="table-group" id="tab5"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Forecast horizon</td><td class="align_center">Sign test frequency</td><td class="align_center">Binomial <svg height="10.5504pt" id="M149" style="vertical-align:-0.2455997pt" version="1.1" viewbox="-0.0498162 -10.3048 68.0949 10.5504" width="68.0949pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M517 51L485 54C448 58 441 63 441 115V712C404 700 337 684 285 678V653C357 648 362 645 362 580V437C339 446 309 449 295 449C159 449 38 340 38 201C38 61 143 -12 223 -12C234 -12 261 -6 301 17L362 53V-12C420 9 495 22 517 26V51ZM362 85C338 67 301 51 266 51C201 51 128 109 128 228C128 373 212 411 259 411C296 411 338 395 362 360V85Z" id="g121-98"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="528" vert-adv-y="528"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,6.864,0)"><path d="M135 536C164 536 186 560 186 587C186 617 164 639 136 639C109 639 85 617 85 587C85 560 109 536 135 536ZM252 0V26C188 32 181 38 181 106V451C138 433 90 420 39 412V388C99 379 102 374 102 312V106C102 38 95 32 32 26V0H252Z" id="g121-103"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="268" vert-adv-y="268"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,10.309,0)"><path d="M319 325C317 349 306 409 297 431C277 440 250 449 209 449C117 449 57 389 57 319C57 243 122 209 182 182C232 159 261 135 261 91C261 48 227 21 190 21C130 21 85 79 68 145L41 140C41 104 51 36 58 22C75 7 121 -12 172 -12C252 -12 337 35 337 126C337 195 286 231 210 262C166 281 126 304 126 348C126 388 152 417 191 417C240 417 274 378 294 318L319 325Z" id="g121-113"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="367" vert-adv-y="367"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,15.015,0)"><path d="M298 36L289 62C276 55 253 45 228 45C202 45 169 60 169 141V397H276C289 405 292 426 282 437H169V574L155 576L90 509V437H45L17 408L21 397H90V107C90 28 125 -12 188 -12C198 -12 213 -8 230 1L298 36Z" id="g121-114"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="305" vert-adv-y="305"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,19.045,0)"><path d="M181 342V451C133 431 89 419 40 411V388C98 381 102 377 102 311V104C102 38 95 32 33 26V0H263V26C186 32 181 38 181 104V287C203 343 235 372 261 372C277 372 289 366 304 352C310 346 318 345 330 350C349 359 362 379 362 399C362 422 338 449 304 449C256 449 213 393 183 342H181Z" id="g121-112"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="371" vert-adv-y="371"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,23.946,0)"><path d="M135 536C164 536 186 560 186 587C186 617 164 639 136 639C109 639 85 617 85 587C85 560 109 536 135 536ZM252 0V26C188 32 181 38 181 106V451C138 433 90 420 39 412V388C99 379 102 374 102 312V106C102 38 95 32 32 26V0H252Z" id="g121-103"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="268" vert-adv-y="268"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,27.378,0)"><path d="M152 404V712C115 698 54 683 7 677V654C71 648 73 642 73 579V24C128 -2 179 -12 220 -12C353 -12 471 92 471 238C471 357 381 449 274 449C262 449 249 446 233 439L152 404ZM152 374C170 384 202 393 230 393C313 393 382 326 382 213C382 97 330 26 246 26C194 26 165 62 158 81C154 91 152 101 152 116V374Z" id="g121-96"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="508" vert-adv-y="508"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,33.838,0)"><path d="M518 50L491 51C452 54 444 60 444 110V444C429 441 405 437 377 434C348 430 314 427 287 426V403L323 397C356 392 365 386 365 333V99C331 66 293 51 257 51C212 51 169 75 169 164V299C169 366 169 413 172 444C156 441 128 437 101 433C75 430 50 427 29 426V403L57 397C82 391 90 386 90 333V137C90 29 147 -12 214 -12C241 -12 262 -4 291 13S342 48 365 65V-6L371 -12C390 -7 415 1 441 8C468 15 496 21 518 24V50Z" id="g121-115"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="531" vert-adv-y="531"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,40.585,0)"><path d="M298 36L289 62C276 55 253 45 228 45C202 45 169 60 169 141V397H276C289 405 292 426 282 437H169V574L155 576L90 509V437H45L17 408L21 397H90V107C90 28 125 -12 188 -12C198 -12 213 -8 230 1L298 36Z" id="g121-114"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="305" vert-adv-y="305"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,44.615,0)"><path d="M135 536C164 536 186 560 186 587C186 617 164 639 136 639C109 639 85 617 85 587C85 560 109 536 135 536ZM252 0V26C188 32 181 38 181 106V451C138 433 90 420 39 412V388C99 379 102 374 102 312V106C102 38 95 32 32 26V0H252Z" id="g121-103"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="268" vert-adv-y="268"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,48.099,0)"><path d="M257 449C165 449 37 374 37 209C37 98 119 -12 256 -12C355 -12 473 65 473 226C473 349 381 449 257 449ZM244 416C333 416 380 320 380 204C380 67 329 21 267 21C184 21 130 115 130 241C130 354 184 416 244 416Z" id="g121-109"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="510" vert-adv-y="510"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,54.572,0)"><path d="M524 0V26C466 32 460 36 460 104V297C460 393 411 449 331 449C302 449 276 437 248 419C223 402 201 387 181 372V451C137 432 90 420 42 411V388C96 378 102 374 102 310V104C102 38 97 33 29 26V0H246V26C187 32 181 36 181 104V339C211 365 250 390 290 390C357 390 381 345 381 276V109C381 40 374 32 315 26V0H524Z" id="g121-108"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="547" vert-adv-y="547"></glyph.data></g><g transform="matrix(.0091,0,0,-0.0091,61.916,-5.944)"><path d="M486 158C486 177 478 202 466 220C413 228 386 236 336 262C386 288 413 297 466 304C478 323 486 347 485 366C470 376 444 381 422 380C389 338 368 319 321 288C323 345 329 372 349 422C339 442 322 461 305 470C289 461 271 442 262 422C281 372 287 345 290 288C243 319 222 338 189 380C167 381 142 376 125 366C125 347 133 322 145 304C198 296 225 288 275 262C225 236 198 227 145 220C133 201 125 177 126 158C141 148 167 143 189 144C222 186 243 205 290 236C288 179 282 152 262 102C272 82 289 63 306 54C322 63 340 82 350 102C330 152 324 179 321 236C368 205 390 186 422 144C444 143 470 148 486 158Z" id="g50-43"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="611" vert-adv-y="611"></glyph.data></g></svg> <br/><svg height="10.2124pt" id="M150" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -6.78297 7.83752 10.2124" width="7.83752pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M570 304C570 398 525 448 414 448C385 448 343 445 312 434L329 511L321 518C297 504 262 482 244 460L233 411C195 397 159 381 128 358L135 332C160 347 189 360 224 373L111 -147C97 -210 84 -218 17 -231L13 -257L254 -247L259 -218L233 -216C183 -212 177 -202 189 -142L218 -1C238 -10 266 -12 283 -12C351 3 429 48 483 105C543 168 570 242 570 304ZM482 289C482 161 380 33 304 33C278 33 248 51 233 69L303 396C326 400 352 403 369 403C428 403 482 380 482 289Z" id="g113-113"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="593" vert-adv-y="593"></glyph.data></g></svg> value</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">2 months</td><td class="align_center">70/112</td><td class="align_center">0.005</td></tr><tr><td class="align_left">4 months</td><td class="align_center">67/112</td><td class="align_center">0.024</td></tr><tr><td class="align_left">6 months</td><td class="align_center">67/112</td><td class="align_center">0.024</td></tr><tr><td class="align_left">8 months</td><td class="align_center">66/112</td><td class="align_center">0.036</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr><tr class="table-fn"><td><svg height="13.9365pt" id="M151" style="vertical-align:-3.834pt" version="1.1" viewbox="-0.0498162 -10.1025 64.4543 13.9365" width="64.4543pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.0091,0,0,-0.0091,0,-5.741)"><path d="M486 158C486 177 478 202 466 220C413 228 386 236 336 262C386 288 413 297 466 304C478 323 486 347 485 366C470 376 444 381 422 380C389 338 368 319 321 288C323 345 329 372 349 422C339 442 322 461 305 470C289 461 271 442 262 422C281 372 287 345 290 288C243 319 222 338 189 380C167 381 142 376 125 366C125 347 133 322 145 304C198 296 225 288 275 262C225 236 198 227 145 220C133 201 125 177 126 158C141 148 167 143 189 144C222 186 243 205 290 236C288 179 282 152 262 102C272 82 289 63 306 54C322 63 340 82 350 102C330 152 324 179 321 236C368 205 390 186 422 144C444 143 470 148 486 158Z" id="g50-43"></path><glyph.data ascent="3443" descent="-2856" horiz-adv-x="611" vert-adv-y="611"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,6.079,0)"><path d="M673 0V28C608 34 594 43 563 129C499 303 432 494 370 665L339 656L132 132C98 43 84 37 20 28V0H238V28C162 35 154 45 175 108C188 150 203 192 219 237H432C454 176 474 122 487 83S491 36 428 28V0H673ZM418 280H234C265 362 296 450 328 535H330L418 280Z" id="g121-63"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="691" vert-adv-y="691"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,15.101,0)"><path d="M238 0V26C174 32 166 38 166 104V712C132 700 70 683 18 677V653C81 647 87 645 87 577V104C87 38 78 32 15 26V0H238Z" id="g121-106"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="253" vert-adv-y="253"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,18.234,0)"><path d="M298 36L289 62C276 55 253 45 228 45C202 45 169 60 169 141V397H276C289 405 292 426 282 437H169V574L155 576L90 509V437H45L17 408L21 397H90V107C90 28 125 -12 188 -12C198 -12 213 -8 230 1L298 36Z" id="g121-114"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="305" vert-adv-y="305"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,22.12,0)"><path d="M380 106C343 72 306 56 265 56C195 56 116 112 115 248C235 252 361 262 377 265C396 269 400 277 400 297C400 374 333 449 250 449H249C198 449 144 421 103 376S37 269 37 201C37 88 109 -12 232 -12C263 -12 332 6 395 84L380 106ZM225 412C281 412 315 364 314 312C314 297 308 292 290 292C232 290 176 289 120 289C135 370 180 412 225 412Z" id="g121-99"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="425" vert-adv-y="425"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,27.645,0)"><path d="M181 342V451C133 431 89 419 40 411V388C98 381 102 377 102 311V104C102 38 95 32 33 26V0H263V26C186 32 181 38 181 104V287C203 343 235 372 261 372C277 372 289 366 304 352C310 346 318 345 330 350C349 359 362 379 362 399C362 422 338 449 304 449C256 449 213 393 183 342H181Z" id="g121-112"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="371" vert-adv-y="371"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,32.547,0)"><path d="M524 0V26C466 32 460 36 460 104V297C460 393 411 449 331 449C302 449 276 437 248 419C223 402 201 387 181 372V451C137 432 90 420 42 411V388C96 378 102 374 102 310V104C102 38 97 33 29 26V0H246V26C187 32 181 36 181 104V339C211 365 250 390 290 390C357 390 381 345 381 276V109C381 40 374 32 315 26V0H524Z" id="g121-108"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="547" vert-adv-y="547"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,39.618,0)"><path d="M433 39L423 65C413 59 399 54 387 54C370 54 352 69 352 114V299C352 352 342 392 307 422C285 440 255 449 225 449C168 437 102 399 75 379C56 365 44 353 44 339C44 315 69 296 87 296C101 296 111 303 116 319C124 349 133 371 145 385C156 397 171 404 190 404C241 404 275 364 275 291V274C253 256 180 229 120 209C65 190 39 159 39 110C39 47 88 -12 159 -12C189 -12 237 25 277 52C282 35 288 21 301 8C312 -3 333 -12 348 -12L433 39ZM275 84C256 65 221 48 195 48C164 48 124 73 124 124C124 161 146 180 185 198C206 208 254 229 275 240V84Z" id="g121-95"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="439" vert-adv-y="439"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,45.078,0)"><path d="M298 36L289 62C276 55 253 45 228 45C202 45 169 60 169 141V397H276C289 405 292 426 282 437H169V574L155 576L90 509V437H45L17 408L21 397H90V107C90 28 125 -12 188 -12C198 -12 213 -8 230 1L298 36Z" id="g121-114"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="305" vert-adv-y="305"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,49.108,0)"><path d="M135 536C164 536 186 560 186 587C186 617 164 639 136 639C109 639 85 617 85 587C85 560 109 536 135 536ZM252 0V26C188 32 181 38 181 106V451C138 433 90 420 39 412V388C99 379 102 374 102 312V106C102 38 95 32 32 26V0H252Z" id="g121-103"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="268" vert-adv-y="268"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,52.5,0)"><path d="M478 437H300V411C357 404 363 393 347 345C325 280 293 190 258 107C229 178 188 284 163 354C147 397 149 405 203 411V437H-2V411C52 403 59 396 82 339C130 222 176 109 220 -11H248C304 138 356 261 390 336C417 395 425 404 478 411V437Z" id="g121-116"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="463" vert-adv-y="463"></glyph.data></g><g transform="matrix(.013,0,0,-0.013,58.611,0)"><path d="M380 106C343 72 306 56 265 56C195 56 116 112 115 248C235 252 361 262 377 265C396 269 400 277 400 297C400 374 333 449 250 449H249C198 449 144 421 103 376S37 269 37 201C37 88 109 -12 232 -12C263 -12 332 6 395 84L380 106ZM225 412C281 412 315 364 314 312C314 297 308 292 290 292C232 290 176 289 120 289C135 370 180 412 225 412Z" id="g121-99"></path><glyph.data ascent="989" descent="-360" horiz-adv-x="425" vert-adv-y="425"></glyph.data></g></svg> hypothesis: probability of same sign is greater than 0.5.<br/></td></tr></table>

Economics Research International

tab5

Table 5

Table 5: Forecasting Performance of Lumber Futures Prices 