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June 6, 2023

Macrobond x Indicio accurately forecasts German industry production

Our model predicts 1.05% (MoM) for German industrial production. How close did we get?
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In-house blogger
Guest blogger
Stavros Malkidis
,
Associate
Macrobond
In-house blogger
Guest blogger
Arnaud Lieugaut
,
Senior Product Specialist
Macrobond
All opinions expressed in this content are those of the contributor(s) and do not reflect the views of Macrobond Financial AB.
All written and electronic communication from Macrobond Financial AB is for information or marketing purposes and does not qualify as substantive research.
Editor:

Our partnership with Indicio Technologies has once again shown how Macrobond users can get ahead of the curve.

Over the past week, our models have successfully predicted the performance of recent economic releases such as for German Industrial Production.

How does Indicio produce forecasts?

Indicio allows you to estimate univariate and multivariate timeseries models to forecast macroeconomic and financial data. Academic research suggests that it can be particularly challenging to forecast short-run inflation dynamics. Indicio aims to combine different modelling approaches, potentially creating a super-forecast that can outperform any single model.

“Traditional” macroeconomic data is released quarterly or monthly at best, and we are only able to observe the actual numbers long after the period referred to. On top of that, this data is frequently revised.

Therefore, models rely on univariate and multivariate regression techniques that crunch higher-frequency indicators of weekly or even daily series.

What did our Indicio x Macrobond model predict for German Industrial Production this week?

Our model predicts 1.05% (MoM) for DE industrial production. We opted to keep 10 univariate and multivariate models respectively, using stepwise RMSE (a measure of historic accuracy) to weight each input model.

Our forecast was quite bullish as it points to a larger expansion compared to the respective forecast from Trading Economics 0.9% (MoM) for DE industrial production.

How accurate was our model’s performance?

When it comes to German industrial production, our model's performance is a mixof success and near misses.

Our initial forecast for the percentage change in April was 1.05%, and the actual figure based onthe computed series showed a difference of 1.02%. This indicates a close prediction.

However, the revised number for March by DESTATIS influenced the percentage change to be0.3% in April, thereby affecting our earlier prediction.

The Macrobond community can now access Indicio’s technology through a direct API. And Indicio’s latest release allows Macrobond users to export outputs from their models and store them in Macrobond – using our front-end for visualisation purposes.   

Request a Indicio demonstration and download our factsheet to learn how Indicio can allow you to rapidly build a wide range of sophisticated, statistically robust forecasts– with no coding expertise required.

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