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INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS<br />

Table 5: Comparison of the forecast made by ARIMA and VAR model<br />

JUNE 2011<br />

VOL 3, NO 2<br />

years Actual Industrial Production Forecast with ARIMA Forecast with VAR<br />

Dec-06 0.025421 -0.047015 0.095557<br />

Jan-07 -0.006828 0.090283 -0.029583<br />

Feb-07 0.042545 -0.021573 0.051208<br />

Mar-07 0.101102 0.001900 0.039940<br />

Apr-07 -0.049716 0.044213 -0.035986<br />

May-07 0.045040 -0.055489 0.022790<br />

Jun-07 -0.018188 0.027511 0.010287<br />

Jul-07 -0.038934 0.015813 -0.039152<br />

Aug-07 0.012784 0.019082 -0.036007<br />

Sep-07 -0.026320 -0.024055 -0.021759<br />

Oct-07 -0.068987 0.004699 -0.017065<br />

Nov-07 0.021308 -0.006726 0.021521<br />

Dec-07 -0.053224 -0.050281 0.045320<br />

Jan-08 0.094012 0.085745 -0.010371<br />

Feb-08 0.014828 -0.020747 0.060548<br />

Mar-08 0.099342 0.001212 0.008656<br />

Apr-08 -0.128414 0.039140 -0.036995<br />

May-08 0.101268 -0.047821 0.040454<br />

Jun-08 -0.059231 0.025058 0.006702<br />

Jul-08 -0.045307 0.015288 -0.037780<br />

Aug-08 -0.110240 0.021196 -0.028078<br />

Sep-08 0.078332 -0.026942 0.006432<br />

RMSE 0.06500 0.05700<br />

MAE 0.05790 0.04700<br />

MAPE 135.247 113.430<br />

Theil Inequality 0.63930 0.56100<br />

Bias Proportion 0.00490 0.00100<br />

Variance Proportion 0.15850 0.15300<br />

Covariance Proportion 0.83360 0.84000<br />

COPY RIGHT © 2011 Institute of Interdisciplinary Business Research 1547

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