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3
votes
1answer
771 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
129 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 ...
30
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 ...
1
vote
1answer
344 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 ...
2
votes
2answers
3k 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: ...