# Questions tagged [forecasting]

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### Minimum Lower Partial Moment (n=2) hedging ratio

I would like to better have understanding on the minimum-LPM hedging. I have understood that the co-LPM matrix cannot be modeled by GARCH type models that are used to estimate to the covariance matrix,...
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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 $\... 4 votes 0 answers 132 views ### How to find a probability of VIX moving from one price to another I asked a similar question on here with a bounty. I decided to modify the question to simplify what I am trying to do. Is there a package on MATLAB or some other tool where I can find the probability ... 1 vote 2 answers 161 views ### Does forecasting asset returns by default assumes non-stationarity of asset returns? If we assume the assets returns are stationary then the best forecast can only be the mean of the distribution. But if we assume non-stationarity we are forecasting the mean parameter (assuming ... 1 vote 1 answer 77 views ###$R^{2}$Measure for Functions (Yield Curves) I am used to applying$R^{2}$(relative explained variance) as a measure for point estimates. I am now confronted with forecasting the whole of the yield curve and would like to see what fraction of ... 21 votes 5 answers 3k views ### Why quants think that the risk-neutral measure should not be used for financial forecasting? In posts regarding the$\mathbb{P}$vs$\mathbb{Q}$debate (see 1, 2, 3 or 4), most answers conclude that historical-based forecast are better suited than risk-neutral models for financial predictions.... 0 votes 0 answers 72 views ### Is there a mathematical way of showing the slowing down of economic markets? I'm currently taking a introductory mathematical finance course in university and recently on the news (BBC, etc), it states that the economic markets are shown to be slowing down for the next few ... 2 votes 0 answers 138 views ### What is a good algorithm to predict volatility in metals commodity markets? [closed] I'm trying to create a script to predict major swings in the price of Aluminium. I am trying to implement a dynamic time warping algorithm for the same. Was wondering if this really is the best ... 1 vote 1 answer 981 views ### How to know if a time series is trending or mean reverting? I came across Michael Halls-Moore article on using the Hurst exponent test to determine if a price time-series is mean-reverting, trend-following or closer to a random walk, but doesn't this disregard ... 2 votes 2 answers 7k views ### Can I forecast stock returns using GARCH? I know this is a rookie question, but I have seen some comments about using GARCH to forecast stock returns. Is it something people do? Wasn't GARCH just for volatility? Also, can you suggest any (... -1 votes 1 answer 473 views ### Got "Error in ans\$res: \$operator is invalid for atomic vectors" when rolling forecast using rugarch I used the ugarchroll in rugarch packages and got a strange error: Error in ans$res: $operator is invalid for atomic vectors But I don't have ... 1 vote 0 answers 182 views ### Wavelet transform (the à trous time-based decomposition) in R I urgently need to know how to apply the 'à trous' time-based decomposition in R [also known as Stationary Wavelet Transform] on a time series as a preprocessing, to use the result in forecasting and ... 1 vote 0 answers 147 views ### Monte Carlo volatily I was wondering if we could do a forecast on volatility using monte carlo on an underlying asset. For example EUR/USD : Simulating a lot of possible paths on 1 year then calculate the volatilty for ... 1 vote 0 answers 151 views ### What are the current gold standards for volatility prediction error? I'm working on volatility forecasting models for equities and currencies. I am using daily data and am interested in producing forecasts for the next n days. To ... 0 votes 1 answer 266 views ### Most GUI user friendly Time series Econometrics software for modelling and Forecasting GARCH models [closed] I think the question is simple enough. I have been using Eviews, but it is unable to do recursive one step ahead forecasting directly and requires me to use coding, which I'm not very good at. I need ... 1 vote 0 answers 702 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 ... 2 votes 1 answer 133 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 ... 1 vote 1 answer 217 views ### Low-rank approximation techniques for portfolio optimisation I am trying to understand how low-rank approximation techniques such as PCA, factor analysis, total least squares, orthogonal regression, etc could be used in portfolio optimisation. Say I have a ... 0 votes 1 answer 630 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$... 208 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 ...