Questions tagged [arima]
The arima tag has no usage guidance.
30
questions
4
votes
0answers
37 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 ...
1
vote
0answers
46 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
...
0
votes
0answers
31 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 ...
0
votes
1answer
40 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 ...
1
vote
0answers
65 views
Conditional and unconditional variance, autocovariance and autocorrelation of an ARMA process
Given an ARMA(1,1) process $x_t = a + bx_{t-1} + \varepsilon_t + \theta\varepsilon_{t-1}$, how can we
find the conditional variance, i.e. $Var_{t-1}(x_t)$,
find the unconditional variance, i.e. $Var(...
0
votes
0answers
45 views
Is non-linear correlation problematic in financial time series prediction?
Many traditional finance models assume linear relationships between variables and features. Aren't linear correlations/covariances unable to capture financial processes empirically since they actually ...
0
votes
1answer
104 views
What are some good models for stock price predictions?
For the fitting and forecasting of time-series data on stock price, the most frequent model I have heard of is ARIMA. ARIMA is actually conducting a regression of stock prices and residuals of stock ...
2
votes
0answers
36 views
The residuals of GARCH model reject Engle’s Test despite large parameters
I'm trying to build a model to predict the volatility for a financial asset with ARIMA-GARCH model. (I use log returns as data)
I fit my ARIMA model with AIC and I did Engle’s Test to ensure there is ...
0
votes
0answers
57 views
Fitting a non-stationary GARCH model
I'm very new to financial time series. I have a dataset containing the daily simple returns of the Dow Jones Industrial Average and I want to model a (univariate) GARCH model for the daily logreturns. ...
0
votes
0answers
32 views
R-Help..Question regarding working day Frequency in Time series
I have a data where there are observations based on working days in a year. The working days are not same in each year.
These are 248 (say in 2018) observations in first year and then may be 246 ...
8
votes
2answers
576 views
Differencing vs Detrending financial time series
I'm quite newbie to time series analysis and I have to understand what's the difference between differencing time series (i.e considering $Y_t= X_t-X_{t-1}$) and detrending (using linear regression ...
1
vote
0answers
192 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 ...
2
votes
0answers
47 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) ...
0
votes
1answer
2k 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
vote
2answers
181 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
54 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
votes
1answer
64 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
votes
0answers
538 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
60 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 ...
2
votes
4answers
316 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
1k 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
vote
0answers
135 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
vote
0answers
93 views
x13 Arima analysis with negative values
I'm running x13 Arima analysis on a US GDP series to get the "trend" component.
...
33
votes
5answers
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 ...
2
votes
1answer
224 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
574 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 ...
4
votes
1answer
656 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
4k 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
143 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 ...
