# Questions tagged [forecast]

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99 views

### Forecast model for government bond yield [closed]

I would like to build a fair-value/forecast model for bond yield. Let us take the German Bund a risk-free bond. It can be decomposed into 3 components: Growth Inflation expectations Term Premium So ...
34 views

### GARCH(1,1) forecast plot in R with training data

I've fit a GARCH(1,1) model in R and would like to create a plot similar to the one in this question: Is this the correct way to forecast stock price volatility using GARCH Could someone direct me to ...
90 views

### Optimal predictors for 1-month returns

I am implementing a Random Forest classifier algorithm on Python for predicting future stock returns (one month). My goal is to foresee whether the cumulative returns in a month will be negative or ...
69 views

### Use futures contracts of different lengths to predict spot prices

So I am trying to see how future contracts prices with different time to maturity are able to predict the actual spot price of crude oil at the time of maturity for the contracts. I have the simple ...
27 views

### white noise not forecastable ? stationarity doesn't imply forecastability?

We know that white noise isn't forecastable because of its random aspect. White noise is also stationary, and which is confusing me, is that we always try to make a serie stationary to make forecasts, ...
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### cubic spline in excel with month, quarter and year inputs

Using Excel, how could I calculate a cubic spline curve in monthly granularity when my inputs are a combination of months, quarters and years? The quarter and yearly averages of the spline curve need ...
87 views

### Transformation of GARCH Equation to multiple-day Forecast Equation

I want to understand the procedure of how to predict with the GARCH Modell. Therefore it is said that a one day ahead forecast is easy due to the fact that the GARCH equation can produce this. ...
300 views

### Question regarding volatility forecasting using High Frequency Data

Hi guys this is my first question on the Quantitative Finance section of the Stack Exchange network. I am currently reviewing the paper by Professor Alan E. Speight and David G. McMillan 'Daily FX ...
280 views

### Consensus Forecast Data for NFP

Does anybody know where I can get historical consensus forecast data for Non-forma Payroll (NFP)? Or any forecast data for NFP. Thanks,
108 views

### How to assign n day target variables in machine learning

I am trying to forecast future price using supervised machine learning. My logic is to take open and close price from t, t-1, t-2 and t-3 period to predict future close price in the period t+1,t+3 ...
129 views

### Forecasting sales from balance sheet data

I have got a database with balance sheet and income statement data of 150.000 firms for the period 1995-2014. I need to get a good forecast of each firm's sales. As exogenous variables I can use the ...
290 views

### Forecast of volatility

What are the well known methods for forecasting (daily - weekly - monthly) volatility of a stock price? How about a bond price? Let's say I have in my disposition the price time series at a very high ...
537 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 ...
985 views

### Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica

I'm a full time undergraduate student from Peru, and I'm trying to use the Geometric Brownian Motion example used in the help section from Wolfram Mathematica in order to forecast future stock prices,...
77 views

### Is it likely that banks would become clients of algotrading companies? [closed]

Algotrading is growing, while banks don't currently have the HR to continually develop sophisticated algorithms on their own. Is it likely that banks (and governments) would become clients of ...
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### Forecast 3m LIBOR USD. Budget purpose

How can I calculate/budget/find a expectation for the 3 month LIBOR for the next 3monts-4 years? I am calculating a CF scenario on USD 3month Libor + margin. With swaps and fixed rate this is easy, ...
148 views

### Infinite autocorrelation - Unit root?

I have a time series of gold prices, on which I want to build an ARIMA model. The series is autocorrelated and if I can difference as often as I want, it always is. First: data: d1gold Dickey-Fuller ...