All Questions
Tagged with forecasting econometrics
12
questions
1
vote
1
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77
views
What Quantitative Methods Best Predict Silver Prices Based on Macroeconomic Indicators?
I'm seeking guidance on developing a robust quantitative model to predict silver prices using macroeconomic indicators. How can I incorporate variables like GDP growth, inflation rates, and monetary ...
- 21
0
votes
0
answers
81
views
GARCH-MIDAS model for forecasting volatility?
I had a problem when I just estimated the GARCH-MIDAS model on Eviews: I found only the MIDAS model. Can I estimate the GARCH(1,1) model and MIDAS separately, and then multiply them to have GARCH-...
- 1
-1
votes
1
answer
131
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Why is Banque de France using BVAR with different orders of integration?
Don't all the variables used have to be of the same order of integration in VAR models ?
In this paper Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area Gergely Ganics ...
- 11
0
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1
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73
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Is it legitimate to assess the resilience of industries and sectors through the stock market?
I would like to assess the resilience of some sectors in Europe but I honestly lack data, and it seemed to me the simplest solution to be able to implement univariate (arima etc) and multivariate (...
- 11
4
votes
1
answer
76
views
How to prove that the expected squared error associated with the optimal combination weight is smaller than the minimum of 2 forecast variances?
I am looking at linear combination of two forecasts (Bates and Granger, 1969). I would like to understand how to prove that the expected squared error associated with the optimal combination weight is ...
- 55
0
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1
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271
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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 ...
- 45
40
votes
5
answers
8k
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 ...
- 27.5k
2
votes
1
answer
110
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List of Economic Data for Index Forecast
What econometric symbol list (or tickers) could be used to forecast return of global stock market indexes (S&P500, TSX, CAC40, ...) and their subsectors?
I'm aware of the answer to question:
...
- 23
5
votes
2
answers
158
views
Is there a relation between these two forecasting/estimation approaches?
When learning econometrics I have usually seen stuff from the following perspective:
Assume $Y_t = f(X_t) + e_t$, where f is some function of $X_t$ (typically linear). For example, assume $Y_t = X_t *...
1
vote
1
answer
298
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Machine learning to build top 3 price scenarios over n days
I have a time series of closing prices for a given stock. I would like to formulate possible future scenarios for the price.
My intention is not to use these "likely" scenarios to take any position. ...
- 231
2
votes
1
answer
1k
views
HAR-RV, realized GARCH and HEAVY model for realized volatility
I don't have much experience with volatility modeling using intraday data but I'm in the process of collecting 5mins data. Currently I have ~6 months of data. Is it enough to use these models with ...
- 569
3
votes
1
answer
537
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Econometric vs ANN models for forecast?
I hope this is an appropriate question for this forum... for me it is an obvious query since it intrigues me for a long time.
Ok, assume there are 2 distinct classes of models: econometric (AR, MA, ...
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