Short-run price forecast performance of individual and composite models for 496 corn cash markets

Using daily prices from 496 corn cash markets for July 2006-February 2011, this study investigates short-run forecast performance of 31 individual and 10 composite models for each market at horizons of 5, 10, and 30 days. Over the performance evaluation period September 2010-February 2011, two composite models are optimal across horizons for different markets based on the mean-squared error. For around half of the markets at the horizon of 5 days and most of them at 10 and 30 days, the mean-squared error of a market's optimal model is significantly different from those of at least other 23 models evaluated for it. Root-mean-squared error reductions through switching from non-optimal models to the optimal are generally around 0.40%, 0.55%, and 0.87% at horizons of 5, 10, and 30 days.