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Holt-Winter Channel: taking the formula one step beyond by Ichu Cheng
ARTICLE SYNOPSIS...Holt-Winter Channel:
taking the formula one step beyond
by Ichu Cheng
October 19,1987 witnessed the biggest one-day drop in stock prices in history. The Dow Jones
Industrial Average (DJIA) fell 616 points or 26% in a single day. The drop caught most inv
ARTICLE SYNOPSIS...Holt-Winter Channel Calculation
The Holt-Winter formula estimates the three quadratic coefficients recursively as follows:
Ft+1 = (l - a) (Ft + Vt + 0.5 At) + aCt+1
Vt+1 = (l - b) (Vt + At) + b(Ft+1 - Ft)
At+1 = (l - c) At + c (Vt+1 - Vt)
where Ct =