Questions tagged [forecasting]
The forecasting tag has no usage guidance.
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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 ...
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Using geometric brownian motion for stock price forecasting [closed]
I am doing a dissertation in finance on a maths degree. I wanted to forecast stock prices using artifcial neural networks but none of my tutors are able to supervise so I'm having to do something else....
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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 ...
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How do you simulate returns for a portfolio when you have Lumpsum + Monthly investments (SIP) in place?
I'm trying to simulate portfolio returns using Norm.inv function in excel.
Inputs to the formula: Prob= Rand, Std dev= Historical, Mean= 5 year historical average.
Its easy to do this when you're ...
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Fitting a Spread into ARIMA AR(1) process
I'm a newbie to econometrics. I've simply ran a regression and have coefficient values of the variables. I'm running a regression for a crypto data, and I've gotten the Spread of the variables. To ...
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forecasting hourly variance with higher resolution data available
Assume one has price data $P_{1}, P_{2}, \dots, P_{n}$ with one hour resolution and aims to forecast the variance for one hour ahead return. The first approach to try is ARCH or GARCH models. There ...
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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 ...
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Volatility forecast on SPX option expiration day
I am looking for methods and papers on forecasting SPX option at-the-money implied volatility or realized volatility within its expiration day. What are some stylized facts and forecasting methods?
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Use of ugarchroll vs ugarchforecast: setting parameters
I would like to generate 21 day ahead forecast volatility with ugarchroll.
I know it is similar to ugarchforecast with the exception that ugarchroll is a rolling average which considers initially the ...
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Optimal trading given frequently delivered directional forecast
I am interest in trading by optimally exploiting a directional forecast given by an oracle.
The oracle predicts directionally the price of an asset (higher or lower than at the moment of forecast ...
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Consistent offset/lag in time-series prediction using Neural Network (all code provided)
I'm using a neural network (keras package) to predict Bitcoin prices 48 hours in advance. The issue is that for some reason, my predictions are "correct" but they are lagging behind the true ...
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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 (...
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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 ...
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Modelling volatility for higher frequency data
I'm doing some academic work on volatility forecasting. I've got 1-minute bar data. It is not clear to me what model is best suited for forecasting volatility when higher frequency data is available.
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Why are my Neural Network predictions “correct”, but offset from true value? Not using any past lagged values
Please bear with me through the whole question - I just want to make it very clear what I've done so far and why I'm so perplexed.
I am working with a neural network with the Keras package in R, ...
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