Questions tagged [forecast]

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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 ...
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1answer
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 ...
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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 ...
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1answer
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 ...
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0answers
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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0answers
165 views

Measure how different forecasted volatility is from realized volatility

Hi Quantitative Finance Stack Exchange, I'm looking for an opinion on a simple question. Suppose I use a Garch(1,1) model to make a volatility forecast. At time $t$, I have realized volatility $\...
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1answer
69 views

Forecasting a seasonal series with R

I am working with the program "R". I used the command "seas (X-13)" to deseasonalize my quarterly series, then I did the forecast with it. Therefore my forecast is in deseasonalized terms. Now, I was ...
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1answer
40 views

How to interpret the accuracy result of the forecaste?

I'm trying to forecast the vacancy rate of multifamily rental property. I have the data from 1992 until today. I'm trying to fit a model with the serie without the last 2 observations. I only need ...
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2answers
2k views

What is the difference between squared returns and variance?

I am trying to calculate 1-day ahead volatility forecasts using the exponentially weighted moving average, however I am unsure on how to read the formula provided within Risk-Metrics Technical ...
-1
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1answer
63 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.
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1answer
379 views

Got “Error in ans\$res: \$ operator is invalid for atomic vectors” when rolling forecast using rugarch

I used the ugarchroll in rugarch packages and got a strange error: Error in ans$res: $ operator is invalid for atomic vectors But I don't have ...
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0answers
467 views

Forecasting volatility with rugarch and Covariance Matrix

I am trying to do a financial time series forecast in order to build a portfolio. I already have some code running rugarch library and I am not sure if I am forecasting correctly, after that I would ...
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1answer
91 views

Transform raw forecasts into orthogonal forecasts

I am trying to combine multiple forecasts on each of N assets in line with Grinold and Kahn's methodology, taken from Active Portfolio Management, 2nd ed. On p.311, they suggest transforming the raw ...
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1answer
474 views

Trouble understanding lookahead bias

I understand lookahead bias is pretty common industry knowledge. But I cannot wrap my head around how I am introducing it and could use a nice and easy explanation. Here's my thought process. I have $...
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1answer
135 views

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 ...
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0answers
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. ...
2
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1answer
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 ...
2
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1answer
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,
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2answers
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 ...
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1answer
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 ...
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2answers
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 ...
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1answer
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 ...
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2answers
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,...
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1answer
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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1answer
719 views

Can I do a GARCH model to forecast a time series?

I read this paper https://research.aston.ac.uk/portal/files/240393/AURA_2_unmarked_Energy_demand_and_price_forecasting_using_wavelet_transform_and_adaptive_forecasting_models.pdf the two authors ...
2
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1answer
2k views

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, ...
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2answers
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 ...
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0answers
281 views

Optimal Position Size with Transaction Costs given Forecast Mean and StDev

I have rather a challenging question. I'm hoping that someone can share their experience. I will build up the problem in steps. Let's start our thinking with the idea of a buy and hold strategy of ...
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0answers
121 views

Combining Mulitple Forecasts? Budged Constraints?

I'm hoping that someone can lend a hand. I have been reading various papers on how to combine multiple forecast time series. The main paper is Granger and Bates 1969. The suggestion here is that there ...