For this model, 75 months of data from January 2012 to March 2018 was available. From this, only data up until September 2017 was used for modeling. Data from October 2017 to March 2018 was used as a hold-out sample to validate the forecasts generated. Regression modeling was done as part of the effort to build a multivariate model. To refer to details about pros and cons of regression models and other details, please refer to Chapter 2, Forecasting Stock Prices and Portfolio Decisions Using Time Series.
The modelers built three types of regression models: forward selection, backward selection, and maximizing R. The forward selection model starts with the intercept and then finds the best variable that serves ...
