M1 and M2 indicators- new proposed measures for the global accuracy of forecast intervals

This is an original scientific paper that proposes the introduction in literature of two new accuracy indicators for assessing the global accuracy of the forecast intervals. Taking into account that there are not specific indicators for prediction intervals, point forecasts being associated to intervals, we consider an important step to propose those indicators whose function is only to identify the best method of constructing forecast intervals on a specific horizon. This research also proposes a new empirical method of building intervals for maximal appreciations of inflation rate made by SPF’s (Survey of Professional Forecasters) experts. This method proved to be better than those of the historical errors methods (those based on RMSE (root mean square error)) for the financial services providers on the horizon Q3:2012-Q2:2013.