Table 1.
Estimates of the prediction models (ARIMA, ANN, regression).
| ARIMA | ANN | Regression | |
|---|---|---|---|
| Coefficient estimates | Relative importance | Coefficient estimates | |
| Constant | −3491.974⁎⁎ | −643.6⁎⁎ | |
| MA1 | −1.018⁎⁎⁎ | ||
| MA2 | −0.494⁎⁎⁎ | ||
| Seasonal AR1 | 0.790⁎⁎⁎ | ||
| Seasonal MA1 | 0.237⁎⁎⁎ | ||
| lag1_HSI | 0.836069 | 0.942⁎⁎⁎ | |
| lag1_DJI | 0.766⁎⁎⁎ | 0.0746794 | 0.0603⁎⁎⁎ |
| Property price index | 52.136⁎⁎⁎ | 0.195885 | 4.48 |
| Retailing sales | 10.741⁎ | 0.137019 | 0.261 |
| Prime lending rate | 931.289⁎⁎⁎ | 0.107814 | 65.801⁎⁎⁎ |
| CPI in Hong Kong | -214.214⁎⁎⁎ | 0.0832492 | -17.304 |
| Gold price | −0.441 | 0.0565497 | 0.677 |
| Crude oil price | −1.208 | 0.0558185 | −2.133 |
| Unemployment rate | 29.166 | 0.0550763 | 0.003 |
| Euro exchange rate | 68.821 | 0.055073 | −8.87 |
| JPY exchange rate | 17,426.075 | 0.0511798 | 0.003 |
| GDP in HK | 0.000 | 0.0173758 | 0.0004 |
⁎
For p < 0.05.
⁎⁎
For p < 0.01.
⁎⁎⁎
For p < 0.001.