Latest price
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12-month forecast
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Probability of decline (12m)
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Monte Carlo simulation, 10,000 paths
95% 1-year Value at Risk
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Champion model accuracy
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M6 ElasticNet, 24-month test window
Share price: history & forecast
Daily adjusted close, with the M3 ETS forecast fan (80% interval)
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10 models, one honest answer
Static 24-month test accuracy (MASE, lower is better). Hover a bar for the full metric breakdown.
12-month scenario fan
10,000 simulated paths, percentile bands widen with the horizon
Where price lands in 12 months
Distribution of the 10,000 simulated end prices
Can we call the direction?
Up-or-down accuracy vs a majority-class baseline, 24-month test
What tilts the odds of an up month
Logistic-regression odds ratios (above 1 raises odds, below 1 lowers)
What moves Maybank's price
Correlation of monthly returns with sector & macro drivers
Volatility over 26 years
12-month rolling volatility of monthly returns
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Do the confidence bands hold up?
Actual vs promised coverage on the 24-month test window
Model validation checks
The diagnostics behind trusting these numbers
Does the same story hold daily and weekly?
Robustness check: the full pipeline rerun at daily and weekly frequency, on Maybank's own price history (no macro drivers pulled at these frequencies). Same models, same tests, shorter horizon.
Spot price
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Forecast (end of horizon)
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Prob. of decline
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95% VaR
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Model accuracy on the held-out test window
| Model | RMSE (RM) | MASE | vs. naive (Diebold-Mariano) |
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