Uso do Método Holt-Winters para Previsão do PU de Títulos Públicos Federais do Brasil

Abstract

The article evaluates the predictive capability of the Holt-Winters exponential smoothing method for forecasting the Unit Prices (PU) of Brazilian National Treasury Notes – type B (NTN-B) in the secondary market. The sample comprises daily PU quotations from January to December 2012. Results, analyzed using MAPE (0.33%) and Theil’s U (0.928) metrics, demonstrate that the additive Holt-Winters method is effective for pricing these securities, serving as a valuable tool for financial market trading decisions.