# Questions tagged [arima]

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### Why is $Z_t$ uncorrelated with $X_{t-1}$ in $X_t=\theta X_{t-1}+Z_t$?

In a solution to the problem below, the teaching assistant solves it by calculating $\mathbb{E}[X_t^2]$ and ends up with also having to calculate $\mathbb{E}[X_{t-1}Z_t]$ after expanding the square. ...
60 views

### Do I use % return, log return or diff of prices to plot ACF?

I am reading a book on time series. To make a non-stationary series stationary, sometimes we need to difference the series. When it comes to finance, prices are non-stationary. Many authors fit ARMA ...
32 views

### Price Prediction Intervals from Forecasted Returns (ARIMA)

I have successfully fit an ARIMA model to a time series of the daily returns of power futures prices. The question I have is: How can I create a prediction interval for the prices? Or, alternatively, ...
77 views

### Forecasting returns and volatility using ARIMA-GARCH model in R

I am using rugarch package in R to forecast returns and volatility of a stock. I train an ARIMA (p ,d q) + GARCH(s, r) model on ...
49 views

### What is the Id in the ARIMA model in Notes on financial risk of Privault?

I hope this is the right place to ask this question. I am studying the time series from Privault's Notes on Financial Risks. In the ARIMA model part I can't understand what is "I_d", it is ...
58 views

### Electricity Futures Risk Premiums With ARIMA

I am attempting to model long-term electricity prices using today's futures prices. Unlike most futures, electricity is delivered over a period of time (usually a month), rather than at a point in ...
27 views

### ARMAX model with rolling window for predicting inflation

First of all, similar questions like mine are answered on this forum but I never quite saw an answer to this specific question. I'm trying to predict inflation by using an AR model with exogenous ...
132 views

### How to model financial HFT time-series data with multi scale autocorrelation

I work with tick level time-series univariate prices data. Tick level means that there are hundreds to thousands observations per second. The observations are timestamped, so one can use both wall ...
62 views

### Exploding forecast when increasing sample size in ARIMA in R/Python

I am fitting ARFIMA - eGARCH to time-series log returns in Python using R Rugarch package. The sample size is 2000, and I am doing 1-step ahead forecast. The following is the output ...
37 views

### Fitting a Spread into ARIMA AR(1) process

I'm a newbie to econometrics. I've simply ran a regression and have coefficient values of the variables. I'm running a regression for a crypto data, and I've gotten the Spread of the variables. To ...
132 views

### Exchange rate trend-stationarity

I am kinda new to time-series analysis, I want model CEE (EUR/HUF, EUR/PLN, EUR/CZK, EUR/CHF) exchange rates with ARIMA. I understand that according to Box-Jenkins modeling, I should first check if my ...
117 views

294 views

### Combining SARIMA and GARCH model for prediction in python

I need to understand the concept of combining (S)ARIMA and (G)ARCH model for the predicting time-series data. I understand that after fitting the arima model ...
80 views

### Problem with Hurst exponent estimation for ARFIMA models

guys. I try to realize my ARFIMA model identification script in R. I try to find the best method for unbiased Hurst exponent estimation (fractional difference parameter could be found as Hurst - 0.5) ...
3k views

### MLE error in R: initial value in 'vmmin' is not finite

I am trying to fit an ARIMA(1,1)-GARCH(1,1) model. I changed the starting values a lot but still its returning the same error. Below is my code which contains two functions ...
235 views

### Error distribution assumption in a simple ARIMA model

why in an ARIMA-GARCH structure I have to assume an error distribution to run the estimation while in a simple ARIMA model it is not required? Thank you
58 views

### Can GARCH volatility simulations generally be applied to return-modelling models?

This may be a naive question, but I still hope some discussion can elucidate a (so far) totally nebulous point for me. I've recently learned that GARCH models can give one simulations of ...
68 views

### ARIMA vs ARIMA + GARCH [closed]

If an ARIMA model converges quickly, would using GARCH improve the forecast performance? By improve I mean provide longer time periods for forecasts. Basically trying to forecast returns.
674 views

### Interpreting ACF/PACF of return series

Researching a return series on some currency pairs I grabbed 2 years worth of daily data and got to work trying to fit an ARIMA/GARCH model to it. Fitting the (log) return series: ...
70 views

### Are some stock prices not ARIMA(0,1,0) processes?

I am studying stock prices. Let Pt be price of stock at time t. While Pt is non stationary, the return, rt=log(Pt/Pt-1) is stationary. However, when I study on rt, I decide on an ARMA(0,1) without ...
387 views

### ARIMA model coefficients from discontinuous data series

Stock prices are not stationary processes during all week or all day. For example EURGBP has low variability at night in Europe but during working hours is changing much more dynamic because of market ...
2k views

I've got an ARIMA model (with a GARCH model for variance estimation) and parameters estimated in Matlab for my set of data. Now I need to use this model in my Java based application for making ...
142 views

### ARIMA prediction for currencies

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 ...
110 views

### x13 Arima analysis with negative values

I'm running x13 Arima analysis on a US GDP series to get the "trend" component. ...
6k views

### Why aren't econometric models used more in Quant Finance?

There is a big body of literature on econometric models like ARIMA, ARIMAX or VAR. Yet to the best of my knowledge practically nobody is making use of that in Quantitative Finance. Yes, there is a ...
251 views

### Automate selection of BIC-minimizing ARIMA(1,0,X) model

I want to estimate an ARIMA(1,0,X) model. The MA(X) in the model is selected to minimize BIC. I have the following code employing the function auto.arima from "...
741 views

### ARIMA Forecasting always converges?

I read an article about arima forecasting and i said that before we forecast arima model, its stationarity has to be checked. If the model is stationary, it is clear that forecasting converges to ...
753 views

### rollapply with Arima model: testing for stability of coefficients

I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the ...
5k views

### How to fit a SARIMA + GARCH in R?

I'd like to fit a non stationary time series using a SARIMA + GARCH model. I have not found any package that allow me to fit this model. I'm using rugarch: ...