Questions tagged [arima]

Question 1

I have tick-level data for a single trading day of a specific contract and aim to conduct time series analysis on it. The mid-price at each tick is computed as $MidPrice=0.5×(Ask_1 +Bid_1)$. The data ...

Question 2

Lets predict stock price distribution 1 year ahead using historical data. Price path in between not needed, only on the price on the final day. It's assumed that stock price may be affected by a) ...

Question 3

I am using GARCH modelling for my bachelor thesis in Economics. I am entirely new to the concept, and have only been looking into these kind of models for about a week now. I am trying to do a ...

Question 4

I want to fit a continuous time ARMA (CARMA) model to traffic data $T_t$. After removing trend and seasonality I need first order differencing to obtain stationarity. Then I fit a CARMA model (yuima ...

Question 5

I am currently working on Brockwell "Levy-driven CARMA processes" (2001) and I am stuck in the introduction. So we have a continuous AR process (CAR(p)) \begin{align*} X_t=e^{At}X_0+\...

Question 6

The cointegration test between two time series variable is generally relevant from my understanding when you are performing a regression model. In terms of ARIMA model the approach is straightforward ...

Question 7

I have read that for standard copula modeling, you can get empirical cdf of data and use it for copulas. But for time series data, we must first fit ARIMA/GARCH, get standardized residuals, and only ...

Question 8

I understand that ARMA-GARCH models and their variations are usually applied to daily time series. While I know that such models can be also estimated on monthly data, I have seen few applications in ...

Question 9

In a solution to the problem below, the teaching assistant solves it by calculating $\mathbb{E}[X_t^2]$ and ends up with also having to calculate $\mathbb{E}[X_{t-1}Z_t]$ after expanding the square. ...

Question 10

I am reading a book on time series. To make a non-stationary series stationary, sometimes we need to difference the series. When it comes to finance, prices are non-stationary. Many authors fit ARMA ...

Question 11

In the code below, you can see that 'ret' is an ARMA process, and I am trying to see how the ret[0], etc... ret3, ret4, etc. are linked to each other, and although I know the formula for the ARMA ...

Question 12

I have successfully fit an ARIMA model to a time series of the daily returns of power futures prices. The question I have is: How can I create a prediction interval for the prices? Or, alternatively, ...

Question 13

I hope this is the right place to ask this question. I am studying the time series from Privault's Notes on Financial Risks. In the ARIMA model part I can't understand what is "I_d", it is ...

Question 14

I am attempting to model long-term electricity prices using today's futures prices. Unlike most futures, electricity is delivered over a period of time (usually a month), rather than at a point in ...

Question 15

First of all, similar questions like mine are answered on this forum but I never quite saw an answer to this specific question. I'm trying to predict inflation by using an AR model with exogenous ...

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Questions tagged [arima]

Does Computing Log Returns as $\log(x_t / x_{t-1})$ Introduce Information Leakage in Time Series Forecasting?

How Random Walk with Weighted Sampling different from GARCH/ARIMA?

eGARCH(1,1) model evaluation (R). How to assess model integrity?

Inverse differencing in continuous time

Weak stationarity of continuous ARMA process from Brockwell

Does cointegration test of exogenous variable with Y variable make sense when doing ARIMAX/SARIMAX?

In copula modeling for time series data, why do we need to fit ARIMA/GARCH and then work on standardized residulas.?

Are ARMA-GARCH-type models suitable for monthly data?

Why is $Z_t$ uncorrelated with $X_{t-1}$ in $X_t=\theta X_{t-1}+Z_t$?

Do I use % return, log return or diff of prices to plot ACF?

How are the values of the ARMA process linked in python

Price Prediction Intervals from Forecasted Returns (ARIMA)

What is the Id in the ARIMA model in Notes on financial risk of Privault?

Electricity Futures Risk Premiums With ARIMA

ARMAX model with rolling window for predicting inflation

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