Questions tagged [arima]
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0
votes
1answer
136 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 ...
1
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2answers
101 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
1
vote
1answer
48 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 ...
-1
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1answer
51 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.
0
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0answers
288 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:
...
1
vote
1answer
51 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 ...
1
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3answers
178 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 ...
3
votes
1answer
616 views
Please advice free Java library for classical time series forecasting
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 ...
1
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0answers
123 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 ...
1
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0answers
63 views
x13 Arima analysis with negative values
I'm running x13 Arima analysis on a US GDP series to get the "trend" component.
...
31
votes
5answers
5k 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 ...
2
votes
1answer
166 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 "...
1
vote
1answer
281 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 ...
3
votes
1answer
547 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 ...
2
votes
2answers
2k 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:
model=ugarchspec(
variance.model = list(...
5
votes
4answers
2k views
Is there any way to easily estimate and forecast seasonal ARIMA-GARCH model in any software?
I use R to estimate a seasonal ARIMA(8,0,0)(5,0,1)[7] model for the seasonal differences of logs of daily electricity prices:
...
2
votes
1answer
119 views
What do I need to do with my data before fitting the ARIMA model?
I'm fitting a stock price time series data to ARIMA model and I have a question about the assumption.
Is it that ARIMA only applies to stationary data? The ACF and PACF of the data (and the logged ...
