arma model

  1. C

    ARMA one step ahead forecast and forecast error

    For a ARMA(1,1) process with constant \theta is X_t=\alpha X_{t-1}+\theta +Z_t+\beta Z_{t-1} where Z_T is white noise with mean 0 and variance\sigma ^2. 1)Find the one step ahead forecast 2)Find the expected value and variance of one step ahead forecast error Here's what I did...
  2. H

    Re: Help needed for forecasting model

    Hi, I have a dataset of some monthly usage values. I have to forecast the for the next 12 months. I have taken log of data for ease of use. It seems to me that ARMA(2,0,2) model fits best for it. Can you confirm if I am right or wrong? If it is, please tell me which one fits the best. Also...
  3. J

    Interest Rates and ARIMA models

    Hello, My goal is to forecast t-bill/note interest rates to help determine whether it'd be useful to purchase an interest rate swap on a loan (25 year amort. due in 7 years). I have learned ARIMA models, specifically AR[1] models are useful to forecasting rates. Please see attached...