Seasonality - Centered MA vs. Holt-Winters

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Seasonality - Centered MA vs. Holt-Winters

Ben Nachtrieb

I asked this question on the r-finance list server and didn't get a reply.
Thought I would try here to.

I am trying to deseasonalize some financial time series data and I wanted
some feedback on the best methods for doing this. I found two Centered
Moving Average and Holt-Winters. Which is better and/or more appropriate for
financial time series data in your opinion?

I understand that Holt-Winters is a type of exponential smoothing and I have
a complete description of how to calculate Centered Moving Averages
(seasonal indices), but no discussion on which is more appropriate for
certain situations.

Any information on either (or other methods that you feel are better) would
be great!


Ben Nachtrieb
M.S.F. Investments, University of Denver
Beta Gamma Sigma member

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