Questions tagged [forecasting]
The forecasting tag has no usage guidance.
234
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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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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 $\...
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How to find a probability of VIX moving from one price to another
I asked a similar question on here with a bounty. I decided to modify the question to simplify what I am trying to do. Is there a package on MATLAB or some other tool where I can find the probability ...
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Does forecasting asset returns by default assumes non-stationarity of asset returns?
If we assume the assets returns are stationary then the best forecast can only be the mean of the distribution.
But if we assume non-stationarity we are forecasting the mean parameter (assuming ...
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$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 ...
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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....
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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 ...
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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 ...
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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 ...
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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 (...
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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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182
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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 ...
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147
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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 ...
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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 ...
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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 ...
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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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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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217
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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 ...
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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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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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QLIKE loss function to evaluate forecasting model of log(realized volatility)
I use QLIKE as loss function to evaluate the forecasting performance of a RV realized volatility model.
QLIKE = log $h$ + $\frac{\hat{\sigma}^2}{h}$
where $h$ is volatility forecast and $\hat{\sigma}...
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How is a GARCH model readily complementary to a forecasting model?
Hi Quantitative Finance Stack Exchange,
It's my first go at GARCH models so give me a chance with my phrasing. I'm looking for an answer to a general question.
First, I understand that you can have ...
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Are GARCH models dependent on the returns forecasting model?
Hi Quantitative Fiance Stack Exchange,
It's my first go at GARCH models so please give me a chance with my phrasing.
I understand that GARCH models are used to forecast volatility. The GARCH(1,1) ...
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How to reduce data dependence for empirically assessing option pricing model performance?
I am preparing a paper about mitigating assessment failures for option pricing models. For the sake of simpliciy, suppose we are talkin about European options. In basic terms, what I would like to say ...
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Combine EWMA or ARCH model with estimator other than squared returns
Currently I use the EWMA model with the squared logarithmic returns as proxy estimator for the volatility, in order to forecast the volatility one step ahead in an intraday scenario (time frame is a ...
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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 ...
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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. ...
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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 ...
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What is a maximal curve?
I came across the term maximals in this article. Can someone explain what a maximal curve is and how you would calculate it?
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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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Data of Credit Migration Matrices
Please advise that how to get the data of credit migration matrices
There is a paper of credit migration matrices, I would import the data to Matlab or R for credit analysis.
https://www....
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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 ...
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Relationship between in-sample and out-sample periods length
I have two general questions regarding "in-sample fitting vs. out-of-sample backtesting" kind of analyses. Is there any relationship between the length of the data collected for in-sample fitting ($a$)...
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Forecasting conditional returns in DCC-GARCH-copula approach in R
anyone who could help me interpreting and modifying this code?
I have a dataset and want to reserve the last 100 returns for out-of-sample analysis. After specifying and fitting the garch-spd-copula, ...
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Risk neutral probability and forecasting
When our goal is pricing of derivative products we, due to no arbitrage conditions, have to use the risk neutral probability. In other side if we have risk management purpose we have to use the “...
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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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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 ...
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Is my demand prediction too low?
I have a problem right now at work. For certain business segments, some sales target are established each year. These targets are established based on the managers feelings. It's like this:
Manager: ...
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Determining confidence level of directional signals
With regards to technical analysis, are there ways of determining the confidence level of a directional signal? Taking a relative strength index (RSI) as an example, can the extent to which an asset ...
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How do companies forecast revenue and earning estimates for a quarter or year in advance?
I'm sure there are models and they have low and high estimates. But how to do they decide on the percentage growth? A bit of art + science?
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Predicting the Future FX Spot Rates
Say I need to predict what the spot rate between USD and CAD will be in 3 months. What will be the most accurate measure or model that I could possibly use? Does the 3 month forward rate necessarily ...
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What are appropriate algorithms for forecasting contract schedules to maximize profit?
Imagine a situation where a business negotiates contracts for the maintenance of widgets it sells.
Situation
Customer buys 20 widgets.
Customer negotiates contract for widgets to be serviced/...
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Starting values for constrOptim() in R
I want to perform a constraint optimization for Maximum Likelihood Estimation in R to forecast volatility of returns. The probleme is that my initial values aren't in the permitted region. Is there ...
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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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Why is volatility said to be persistent?
Persistence in volatility of stock returns is one of the common 'stylized facts' when it comes to analyzing time series. However, I am wondering for theoretical arguments why (estimated) volatility ...
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Modelling and forecasting mixed frequency financial data
I was wondering if someone could provide some guidance to me. I would like to
Combine various financial data of mixed frequencies (some daily,
weekly, some quarterly) to a composite index. I have ...
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how to calculate RMSE, MAE, given ugarchforecast results?
Given S&P500 returns for the past 20 years I fitted an ARMA(1,1)-GARCH(1,1) model using the rugarch package, so using ugarchspec() and the ugarchfit(), with different innovations distributions, i....
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Relative merits of Adjusted versus Closing prices for market predictions
Basic question
I am familiar with the data returned from Yahoo. For indices and the like (e.g. ETFs) there are seven columns of data: Date, Open, High, Low, Close, Volume, Adjusted. We only need ...
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Simulating returns from ARMA(1,0)-GARCH(1,1) model
I want to obtain a simulation of one-step ahead forecasts of stock returns process governed by ARMA(1,0)-GARCH(1,1) process. The returns are of form:
$x_t = \mu + \delta x_{t-1} + \sigma_t z_t$
From ...
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Asset allocation and GARCH models
I am trying to solve an asset allocation problem and I am having some troubles grasping the concept. I am working with excess returns on 4 stock indices and I am obtaining the excess returns forecasts ...
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