Forecasting the Dow Jones Rate of Change by Using Vector Auto-Regression

In this paper I used VAR Technique and estimated an equation that enables us to forecast future expected changes in the Dow Jones. Surprisingly, I found that small lags in the Dow Jones are not significant, while very distant lags are significant and can explain a large amount of the variance in the rate of change of the Dow Jones. Comparing actual to fitted values, I found that in 10 out of 11 predictions the forecasts lie within the confidence interval of the prediction.