FORECASTING CORPORATE PERFORMANCE: VECM COMPARISON WITH OTHER TIME SERIES MODELS Available to Purchase

This study uses the Vector Error Correction Model (VECM) to forecast ex post changes in earning and stock prices of six major DOW companies as well as of the S&P 500 market index. Compared to ARIMA and GARCH models, results from four decades of data are supportive of the forecasting ability of the VECM process.