All Questions
Tagged with forecasting regression
7
questions
0
votes
1
answer
82
views
Predictive Forecast (Close, 14)
I've been following an asset wherein a "R-squared predictive forecast (close, 14)" is posted online each day. On some days, this figure is extremely high, like .92.
Exactly what is the ...
- 1
0
votes
1
answer
47
views
How do you build a model with uncertain time range?
Let's say you want to test the hypothesis that given a signal reaches some threshold, some asset will have some return over the next period.
Here we have two unknowns.
One, the value of your ...
- 717
1
vote
1
answer
180
views
What is the optimal approach to "backcasting" alternative asset classes (i.e. PE, Hedge Funds, Real Estate)?
I am interested in coming up with better risk calculations for alternative asset classes. As these are illiquid, not a lot of historical data is available.
My idea is to use performance of stocks ...
- 133
6
votes
3
answers
2k
views
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 ...
- 255
4
votes
1
answer
2k
views
Moving window forecasting in Python
I am looking to create some code that will out-of-sample forecast the HAR-RV model.
The model itself is formulated as the following, and the betas are estimated through HAC-OLS or Newey-West.
...
2
votes
0
answers
531
views
Stationarity tests in the frequency domain for regression
Strict stationarity is the strongest form of stationarity. It means that the joint statistical distribution of any collection of the time series variates never depends on time. So, the mean, variance ...
- 436
15
votes
5
answers
12k
views
Using linear regression on (lagged) returns of one stock to predict returns of another
Suppose I want to build a linear regression to see if returns of one stock can predict returns of another. For example, let's say I want to see if the VIX return on day X is predictive of the S&P ...
- 781