All Questions
Tagged with forecasting statistics
12
questions
3
votes
1
answer
285
views
Effect of back-transforming forecasted mean of log returns to get forecasted mean of price
When trying to forecast time series, say forecasting the level of a stock index so we can forecast the future values of an option, it tends to be helpful to analyze the log returns versus the original ...
- 249
1
vote
0
answers
51
views
How do I deal with nonexistant data in a time series with an irregular frequency?
I am trying to do some time series analysis on the margin resulting from three specific commodity futures contracts and ultimately forecast the margin. The margin is calculated as M = F1 + F2 - F3. I ...
0
votes
2
answers
159
views
Forecasts for the S&P 500?
Would anyone know of any monthly forecasts for the S&P 500, historical over a long time periods.
Websites like estimize provide forecasts of all sorts of things likes stocks and the balance of ...
- 133
0
votes
1
answer
940
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Exponential Smoothing - Alpha greater than 1
Simple stats question.
I'm having trouble finding anything in the literature as to why the smoothing coefficient can never be greater than 1. This question was started by me doing time series ARIMA ...
- 11
2
votes
1
answer
377
views
Why does computing correlation between index levels vs. percentage changes yield completely different results?
I am examining the relationship between the S&P 500 and the Industrial Production Index. Computing the correlation between these these variables yield vastly different results if expressed in ...
- 133
0
votes
4
answers
1k
views
Filling a few missing data in time series?
I'm writing a paper about Uncertainty indices like VIX, etc. I already collected all data but it seems that some of the variables got a few or a little more missing data. I have daily and monthly data ...
user35763
1
vote
0
answers
126
views
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. ...
- 31
2
votes
1
answer
527
views
FORECASTING Model AR(1) in an Autoregressive Form The Pi´s Parameters
Ive been implementing a little exercise to obtain the first 2 forecasting points of an AR(1) process. And i want to have the forecasting ponts using the three forms: Im folowing this pdf http://www.le....
- 247
5
votes
1
answer
815
views
Coin Toss System
Coin Toss Runs Calculator
The expected number of runs for two consecutive heads or tails is 3. Is there an edge if we place a progressive constant size bet(limited to 3 times)for consecutive ...
- 131
8
votes
1
answer
3k
views
What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
I constructed a model to forecast the prepayment rates for a mortgage loan portfolio (of mortgages in an emerging market) using probit regression on factors such as loan-to-value, PTI, time from ...
- 540
14
votes
1
answer
1k
views
What is the Sugihara Trading System?
I recently heard the term Sugihara Trading System. I guess it might be some trading strategy or a special model to predict trends in market data, but I couldn't find out anything about it. Does anyone ...
- 563
22
votes
5
answers
9k
views
How do you evaluate a covariance forecast?
Suppose you have two sources of covariance forecasts on a fixed set of $n$ assets, method A and method B (you can think of them as black box forecasts, from two vendors, say), which are known to be ...
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