Welcome to Janus4cast
The New Standard in Emerging Markets Financial Forecasting
Introducing H2F2, a Web-based financial forecasting platform for the Emerging Markets
Our platform generates macroeconomically consistent forecasts of the S&P500 and three key local financial market indicators for 15 Emerging Market economies. It allows users maximum flexibility to access the data, check whether market forecasts are consistent with macro ones, and alter assumptions and inputs for customized forecasts based on specific views and alternative scenarios.
Hybrid and high-frequency forecast technology
H2F2* stands for Hybrid High Frequency Forecaster. It is a forecasting tool that converts local and international macroeconomic forecasts into financial market ones that are relevant to dedicated EM investors. The forecasting technique is hybrid because it combines econometrics and machine learning (ML) algorithms, and high-frequency because both the historical data needed to estimate the model coefficients and the endogenous market forecasts are weekly (rather than quarterly as is generally the case). The countries currently in the platform are Brazil, Chile, China, Colombia, Hungary, India, Indonesia, Israel, Korea, Mexico, Peru, Philippines, Russia, South Africa, and Turkey, but others can be added upon demand provided their monetary policies are conventional (inflation targeting) and their exchange rates are flexible or semi flexible.
​* USPTO patent applied for and pending
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Medium- and short-term forecasts of four EM-relevant financial benchmarks
Our model generates forecasts of the S&P500 and three key local market indicators for each EM country
S&P500 (SPX)
Endogenous forecasts of this variable are used to forecast the local benchmarks
Nominal Exchange Rate (NER)
Local currency relative to US dollar
Local Stock Market Index (BOLSA)
Most representative index in each country
Credit Default Swap Premium (CDS)
Sovereign, 5 year
Forecasting performance evaluated weekly
Our platform allows users to evaluate H2F2's potential forecasting accuracy in real time by generating pseudo out-of- sample forecast error coefficients for the 13-week period immediately preceding the actual forecast period.
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Stay Ahead of the Market
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H2F2 helps dedicated EM analysts and investors to properly assess relative value across asset classes and countries by:
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Checking if consensus forecasts of key local financial market variables and the S&P500 are consistent with consensus international and local macroeconomic assumptions.
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Generating market forecasts, including for the S&P500, that are consistent with those assumptions.
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Generating alternative market forecasts that are consistent with out-of-consensus macroeconomic assumptions.
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Comparing medium-term financial performance forecasts across EM countries under baseline and alternative macroeconomic scenarios.
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Comparing short-term financial vulnerability across EM countries in response to unexpected international shocks of your own design.
