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Application of the Holt-Winters Method in Bond Yield Analysis and Prediction Using R
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Forecasting bond yields is done with the Holt-Winters method using the R application. The data used were obtained from the Investasi.id website with the period January 2013 to December 2022. Two models are applied in this study, namely Holt-Winters Additive and Holt-Winters Multiplicative. To assess the accuracy of the forecasting results, Mean Absolute Error (MAE) is used. The results show that both models are able to produce fairly accurate predictions with low MAE values. The Holt-Winters Multiplicative model is slightly superior to the Additive model, but the difference is not too large. Therefore, the Holt-Winters method can be used as a reliable approach in analyzing and predicting bond yields to aid decision-making in finance.
Title: Application of the Holt-Winters Method in Bond Yield Analysis and Prediction Using R
Description:
Forecasting bond yields is done with the Holt-Winters method using the R application.
The data used were obtained from the Investasi.
id website with the period January 2013 to December 2022.
Two models are applied in this study, namely Holt-Winters Additive and Holt-Winters Multiplicative.
To assess the accuracy of the forecasting results, Mean Absolute Error (MAE) is used.
The results show that both models are able to produce fairly accurate predictions with low MAE values.
The Holt-Winters Multiplicative model is slightly superior to the Additive model, but the difference is not too large.
Therefore, the Holt-Winters method can be used as a reliable approach in analyzing and predicting bond yields to aid decision-making in finance.
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