News Summary

• Timestral is Mistral’s new family of models for forecasting time series.
• We tested Timestral on daily stock returns, trading volume and a measure of volatility.
• We downloaded daily market data from Yahoo from 2010 onward.
• The main panel contained fourteen u.s. stocks, including Apple, Microsoft, JPMorgan, Exxon and Coca-Cola, plus three equity funds: SPY, QQQ and IWM.
• At each forecast date, the model received the preceding 512 completed daily observations.