Earnings and price forecast with ARIMA and panel VAR time-series models

Key Points

• Forecasting earnings yields enhanced accuracy when using ARIMA and panel VAR models.
• ARIMA and panel VAR models achieve a significantly lower forecast error over standard methods, improving prediction reliability.
• Analysis utilizes financial indicators across multiple firms to derive robust time-series forecasting results.
• These models may enable better financial decision-making, although external validation is necessary to confirm effectiveness.