All Questions
Tagged with forecasting returns
7
questions
1
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2
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313
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Return forecasting for portfolio optimization
I have some questions related to forecasting returns and how it's used to generate the inputs for portfolio optimization.
First, I want to understand why factor models such as FF- 3-factor model are ...
- 45
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0
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72
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Excess Daily Returns to Excess Quarterly Returns
I am building a model which predicts the Excess Daily Returns over a time period. How do I convert these excess daily returns to excess quarterly returns? Should I just do an average of all the daily ...
0
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0
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191
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Optimal predictors for 1-month returns
I am implementing a Random Forest classifier algorithm on Python for predicting future stock returns (one month). My goal is to foresee whether the cumulative returns in a month will be negative or ...
- 63
1
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0
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96
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Predicting stock returns using principal components of macroeconomic variables
I'm trying to detect return predictability by regressing stock returns on the first couple of principal components of a set of macroeconomic variables. I'm doing this for different stock styles such ...
- 11
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3
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Predicting stock returns with GARCH in Python
I have seen this post: Correctly applying GARCH in Python which shows how to correctly apply GARCH models in Python using the arch library. Now I am wondering how I ...
- 229
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7k
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What is the difference between squared returns and variance?
I am trying to calculate 1-day ahead volatility forecasts using the exponentially weighted moving average, however I am unsure on how to read the formula provided within Risk-Metrics Technical ...
1
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2
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168
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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 ...
