DM 검정을 이용한 냉동 고등어 소매가격 예측력 비교 분석 = A Comparative Analysis on the Forecasting Power among Frozen Mackerel Retail Price Determination Models Using DM test

다국어 초록 (Multilingual Abstract)

Forecasting plays a key role in fishing management policies. The purpose of this study is to select which model is superior to forecast frozen mackerel retail prices using statistical approaches, It also aims to provide policy implications for the frozen retail mackerel price determination model. It especially focuses on the superior forecasting power within the seafood market. This study uses daily frozen mackerel prices of the retail market from 2006 to 2015. ARMA(4,3), ARMA(2,1)-GARCH(1,1), and VAR models with t-2 lag are selected to forecast frozen retail mackerel prices. In addition, the forecasting accuracies of each model are tested using Diebold & Mariano test (1995). It compares the predicted prices and actual prices using 1 year out-of-sample data. The results of this study are as follows. First, the ARMA(2,1)-GARCH(1,1) model shows the most superior accuracy based on MSE and MAE standard. Secondly, in terms of forecasting accuracy, the VAR model is equal to the superior ARMA(2,1)-GARCH(1,1) model only when using MSE standard based on the DM test. The ARMA(2.1)-GARCH(1,1) is the superior model since there is no model that shows identical forecasting accuracy to the MAE standard based on DM test. The outputs of this study are expected to increase consumers` economic utilization, and operate a predictable business to retailers by providing the frozen mackerel retail price future index. Furthermore, the outputs will provide useful information regarding Korean purchase, and also help set projects necessary to stabilize Korea seafood market prices.

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