Questions tagged [forecasting]
The forecasting tag has no usage guidance.
247
questions
0
votes
0
answers
131
views
Is non-linear correlation problematic in financial time series prediction?
Many traditional finance models assume linear relationships between variables and features. Aren't linear correlations/covariances unable to capture financial processes empirically since they actually ...
- 3,040
2
votes
2
answers
1k
views
How does Linear-Exponential Loss (Linex) function tend towards Quadratic Loss function?
Thank you for your help everyone, and I apologise beforehand if this is a lousy or dumb question.
I am looking to read up more on Quadratic Loss & Linex Loss, and forecast optimality.
In my ...
- 123
0
votes
0
answers
191
views
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
0
votes
2
answers
2k
views
How to obtain one-step ahead forecast in Python based on GARCH?
I am trying to produce one-step ahead forecast using GARCH in Python using a fixed windows method. I ultimately want to put the code below in a for loop, but this code snippet does not perform as I ...
- 103
1
vote
1
answer
2k
views
GARCH(1,1) forecast plot in R with training data
I've fit a GARCH(1,1) model in R and would like to create a plot similar to the one in this question: Is this the correct way to forecast stock price volatility using GARCH
Could someone direct me to ...
- 11
1
vote
1
answer
297
views
What are some good models for stock price predictions?
For the fitting and forecasting of time-series data on stock price, the most frequent model I have heard of is ARIMA. ARIMA is actually conducting a regression of stock prices and residuals of stock ...
- 111
1
vote
0
answers
59
views
Why are cashflows "modelled backwards in time"?
A am currently reading a manual on how to use some actuarial modelling software to project the expected liability payments made under an annuity contract. In this guide, the following statement is ...
- 175
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
2
answers
297
views
$n$-day ahead forecast for asymmetric DCC-GARCH model
I am working on forecasting covariances with the use of MGARCH models. I was wondering if anyone knows how to implement a n-day ahead forecast of the aDCC (asymmetric DCC) model in R. The ...
- 11
0
votes
0
answers
39
views
Forecasting accuracy in one month and hedging
I am working on predicting the daily data of a financial time series $[Y(t+1),...Y(t+j)]$ =$f(X_1(t),...X_1(t-i),.....,X_n(t),...X_n(t-i))$ where $Y$ is a commodity price $X_i$ are predictor variables ...
- 11
6
votes
2
answers
509
views
Forecasting volatility farther ahead with autoregressive machine learning
ARIMA and GARCH are old news for predicting volatility time series of asset returns. I am aware of papers that replace ARIMA and GARCH with machine learning algorithms to predict financial volatility ...
- 3,040
0
votes
0
answers
72
views
white noise not forecastable ? stationarity doesn't imply forecastability?
We know that white noise isn't forecastable because of its random aspect. White noise is also stationary, and which is confusing me, is that we always try to make a serie stationary to make forecasts, ...
4
votes
2
answers
291
views
How would you forecast volatility without using any programming languages or machine learning or anything of that sort?
I am trying to forecast volatility. I am on the tactical asset allocation team. No one on our team knows machine learning or any programming languages. We are fundamental equity research analysts ...
- 73
2
votes
2
answers
283
views
Use futures contracts of different lengths to predict spot prices
So I am trying to see how future contracts prices with different time to maturity are able to predict the actual spot price of crude oil at the time of maturity for the contracts.
I have the simple ...
1
vote
2
answers
14k
views
Find out the effective monthly discount rate for a 10% annual discount rate
First time posting. Apologies in advance if this is not the right question for this forum. If it is, please let me know if I should reformat this in a particular way. If it isn't, would it be more ...
- 111