Hurricane Data and Five Day Market Forecast, 09/23/05
I have posted some hurricane effects data that you can download and play w/ using R or Excel. The data consists of the pre- and post- market effects of 8 large gulf hurricanes since 1980. In R:
Or, download and import into Excel by clicking here.
The data headings: h5 stands for the highest close 5 days after landfall, l5 stands for the lowest close 5 days after landfall, pre5dx stands for what the market did 5 days prior to landfall and post5dx stands for what happened 5 days after landfall. The data is in percentage points.
Here is a 5 day forecast from one model of the data:
five day sp forecast = .26 - (1.2)(5dx) + .67(10dx) - (.2)(20dx)
This is a very small data set, but it has been an interesting exercise.