Questions tagged [arima]
The arima tag has no usage guidance.
75
questions
0
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0answers
33 views
Missing values in a multivariate futures model
I have OTC Naphtha dataset consisting of broker quotes received in the year 2021 for around 15 futures contracts expiring monthly. My dataset looks like this where each row represents average quote ...
0
votes
0answers
32 views
Multivariate ARIMA model with irregular time-series
I have a financial time-series dataset consisting of prices of 12 different products (financial futures contracts) that expire x months away from now. So if I plot these 12 contracts with end-of-day ...
1
vote
1answer
147 views
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. ...
0
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0answers
69 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 ...
0
votes
1answer
131 views
How are the values of the ARMA process linked in python
In the code below, you can see that 'ret' is an ARMA process, and I am trying to see how the ret[0], etc... ret3, ret4, etc. are linked to each other, and although I know the formula for the ARMA ...
1
vote
0answers
34 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, ...
0
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0answers
84 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 ...
0
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0answers
50 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 ...
2
votes
0answers
63 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 ...
0
votes
0answers
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 ...
1
vote
1answer
65 views
Modelling Skew when using ARMA Time Series
I am currently modelling financial time series via ARMA processes, but I have reason to believe that in addition to significant autocorrelation, the time series also exhibit skewness. Is there a way ...
-2
votes
1answer
68 views
Should stock return series be modeled with a parametric distribution, or an autoregressive function? [closed]
If I have prior knowledg that a stock return series follows a parametric distribution, such as a Student t-distribution with 4 degrees of freedom, without actively looking for prior knowledge of ...
5
votes
0answers
147 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
65 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
112 views
Inter-temporal structural stability of stock markets
For my bachelor thesis I am trying to determine structural stability of some stock market in the following way:
Identify an ARMA model for the whole sample
Split the sample in two parts, and estimate ...
0
votes
0answers
39 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 ...
1
vote
2answers
139 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
128 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
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0answers
79 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 ...
1
vote
1answer
166 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
41 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
1answer
316 views
Can ARMA and GARCH models be estimated separately in ARMA/GARCH？
Can I use the residuals of the ARMA model to build a GARCH model(with Zero mean)?
If so, does this mean that this GARCH model(with Zero mean) has no effect on ARMA's estimates. For example, if I want ...
0
votes
0answers
98 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. ...
3
votes
0answers
89 views
Expected Shortfall for ARMA-GARCH Model
I need to find an analytical solution for the 99% confidence expected shortfall (CVaR) for a long position of 100 dollars at time $t$ for an asset with returns modeled by an ARMA(1,1)-GARCH(1,1) model ...
8
votes
2answers
2k 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 ...
2
votes
1answer
52 views
ARMA moments proof
Consider a standard ARMA(1,1) process such as
$$x_t - \beta x_{t-1} = \theta u_{t-1} + u_t$$
where $u_t$ is i.i.d. $u_t \sim N(0,\sigma^2)$. I know how to derive mean and variance with stationary ...
1
vote
0answers
325 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 ...
3
votes
2answers
193 views
Confidence Intervals for ARMA+GARCH forecasts
I have fitted an ARMA(1,1)+GARCH(1,1) model to my logreturns series. When it comes to my standarized error's distribution however, I have opted for a Skewed Generalized Error Distribution, because of ...
2
votes
0answers
86 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
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 ...
1
vote
0answers
73 views
What kind of ARMA-GARCH model is that?
My question is what kind of ARMA-GARCH model is the following equation and how to specify it in rugarch R module:
$$r_{t+1}- r_t = \alpha_0 + \alpha_1r_t+\...
1
vote
2answers
251 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
59 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
71 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
705 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
0answers
198 views
ARMA-GARCH Forecasting [closed]
I want to forecast a differenced time series of an Index using the combined ARMA-GARCH model (because I want to forecast the mean and not the variance). My model is a ARMA(2,2)-GARCH(1,1) model. So ...
1
vote
1answer
74 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
vote
1answer
503 views
Joint estimation of GARCH models with ARMA terms in the conditional mean: a necessity?
Supposing I am using the following models to forecast conditional volatility of index returns, whereby In-sample data is 1996-2007 and out of sample data is 2007-2012, using GARCH type models.
I have ...
2
votes
0answers
402 views
VARMA GARCH modelling in R
I want to simulate a VARMA-GARCH process in R. Unfortunately, I found no package to help me with that.
I tried modelling the MGARCH part on itw own and combine it with the VARMA simulation using MTS ...
3
votes
1answer
658 views
Modeling tail data using Generalized Pareto distribution
I just estimated a ARMA(1,1)+GARCH(1,1)+Threshold order(1) equation for time series of stock prices.
Now I'm going to estimate the residuals' marginal ...
2
votes
4answers
390 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
2k 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
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 ...
1
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0answers
110 views
x13 Arima analysis with negative values
I'm running x13 Arima analysis on a US GDP series to get the "trend" component.
...
2
votes
0answers
132 views
Estimating time-varying tail dependence for Archimedean copulas
Patton (2006) defines the upper tail dependence coefficient for a time-varying bivariate SJC copula as
$$\tau^u_t=\Lambda \left(\omega_u + \beta_u \tau^u_{t-1}+\alpha_u \frac{1}{10}\sum^{10}_{i=1}|u_{...
3
votes
1answer
1k views
Python regenerating ARMA params using statsmodels
I am trying to regenerate the ARMA parameters from statsmodel in python. The code I am using is:
...
0
votes
1answer
191 views
Python statsmodel ARMA question
I am reading through the documentation of statsmodel package in python from the link
The (p,q) order of the model for the number of AR parameters, differences, and MA parameters to use.
How do I ...
36
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
256 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
0answers
62 views
Distribution of AR and MA polynoms roots in ARMA/ARMA-GARCH models
I have another noob question. So, for example, I have ARMA(2,2) model:
$$ x_{t} = \phi_{1}x_{t-1} + \phi_{2}x_{t-2} + e_{t} + \theta_{1} e_{t-1} + \theta_{2} e_{t-2}$$.
So, I have 2 polynoms: $$1 - \...