Tag Archives: Quantitative Analysis

Use ASTSA and ARIMA for time series prediction

Today we will use R astsa (Applied Statistical Time Series Analysis) library to analyze data and predict it with ARIMA model.

Load the data

Look at ACF and PACF

Compare auto correlation and partial autocorrelation functions for diff data

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Predict financial data with R

R code template to predict the future with ARIMA auto regression. To try different models,  change the line with fit <- arima(...)

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