I was browsing TradingEconomics.com and I came across their forecast models which immediately captivated my interest. They describe them as "projected using an autoregressive integrated moving average (ARIMA) model calibrated using our analysts expectations. We model the past behaviour of Japanese Yen using vast amounts of historical data and we adjust the coefficients of the econometric model by taking into account our analysts assessments and future expectations."

Here is a picture below: enter image description here So, my question is.. how can I create the band throughout the whole data set? From what I have seen thus far in youtube tutorials is that ARIMA is only forward looking it doesn't go through whole data set. Also, can this be done in R? Thank you very much for your time!

  • $\begingroup$ Could you add a link to the specific webpage you are talking about please? $\endgroup$ – Malick Jul 27 '16 at 1:33
  • $\begingroup$ From you description it is not completely clear (for me) how that works... $\endgroup$ – Richard Hardy Aug 3 '16 at 18:11

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