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    Times Series Forecasting

    Uploaded by

    david koumagnon

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    © All Rights Reserved
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    Quantitative Finance : FINAL PROJECT Jesugnon David Janvier KOUMAGNON 15 February, 2024 + Intedcton 21. Dovnlnd of the data + 12 ata counlodng tom yahoo France + 2. Time Series Plt of Daly Close Data for SMI 22:1. Pot #22. Explanaton + 3.Uso ofthe best subsets ARIMA approach o spol a model orth daly lose data ° 3.1. Deserve slatstes and decomposition of th diy close data + Comparison ARIMA daly modeling + 5. Use ofthe best subsets ARIMA approach to specy 2 adel or the ment dose data +51. Time Serles Case at of monty data for SMCI + 8. Comment on te afrences between the best adel for daly, weeey and monty data 1 Conctsion Introduction sanitatve nance sa branch of applied mathematics tha sos mathemati 3 and statsal metods fo analyze franca markets and conanve canals, marks sentiment, suppl and demand, se. conman approach t9 moda asset pies i to Use tioegresiv negated moving average (ARIMA) model, whch captie ta temporal dependance and stochastic ende of ime aie Howavereterant requencies of data may rou ciara ARIMA specications, and choosing the best mace an be a complex and tedious tanh paper, we ut the best sels ARIMA approach, whicn is a dsa-ven method ha seers the opi ARIMA model based on 3 1. Download of the data aise = 2a(atl = TRUE); groptes.o#*) feted) stofpacsages <= eC for (3 An ntstofpacanesy( Ar (sun(installee.pakages(){, 2] o= 3) == #) ( instatl.packages(i) Library, eharacteronly = 1) > 1.1. Presentation of the stock market index ‘Super Miero Compute, Ine (SIMCT)'s 2 muttnationaleciclegy company spcllzing Inthe desin and producto of comput haréware sclutons, weh a paricule empnasis on server technologies. The analysis conduct an SMCI inves emsloying ARIMA modeling techniques sing historical daly prices of ho company’s stock. The study spans apoiod of anos ve years, rom January 2019 9 January 2024. To ‘bin the stock prices, he analyzes the “quantmod package inthe R programming language, querying the Yahoo! Fiance daabase with the sock symbel“SMCI"The dosing pres selacted as te vara tobe modeled. This dain driven by the recogntion thal he losing 12 comproransivaly reflects various stock often, Conedering nee feo, he et afer amore precise The ARIMA mode bulking process's apa to dally, closing prices of SMCTS ot This comprehonsive aperoach ams te capture undoing 1 and patterns in he ie ores data, proving insights noth behavior of SMCI's stock, The sis designed to anhance understaning ‘90 pent reveal value infrmaton about the company's tock pelormarce over he ane2ed period 1.2. Data downloding from yahoo Finance estsymbole(Syrals = “SMEI", sre = "yahoo", frone"20n9-61-81", tor"B24.01.85") 4 stone the index tn vector tnd Sd onvto & seinaog(SHE), ondersc(8,t,8), include.rean = TUE) chcenosisuls(oauto) Residuals from ARIMA(O, 1,0) % fr coon a2 8 Lag) residuals FH OF une-Box test HF HF cata: ResHauels Foon ARIMA, 1,9) #F QF = B.9TAL, GF © 18, p-value = @.5347 HF 48 ROdeL Gf! @ Total Logs vsea! 18 Bas 114, Uso ofthe tos subsets ARIMA approae’ to spay a model forthe weekY cose dla 1014.4. Te Saree Close Pll of weeldy data fr SMCI PSALM = SHEL MGSHCL Chaz SHEE C SE(SNEE, start = e(289,3), ond = (2022 12), frequen = 52) plat{SHEL) 60 ‘he graph shows Muctuting wend rom 2019 to 2025. SMCI.Close 40 pe 2019 2020 2021 2022 2023 20 Time 1 plot (decarpose(sct-)) art -0,04 (0.03) Decomposition of additive time series 2 gs : Be a? Th sow» soso eSoft bre af a §: 8 2 Th 18842, Statonay of he wooly sores > sav -test(Log(sNr.m)) 18 t8 fugrentedDichoy Fuller Test #8 data: 10g(SHC.M) #9 Dicey Fuller ~ 2.6783, Lag orden ~ 2608 ae alterative nypoteste: 7 eS obfF(og(SMEEH)) plate smeIN) SMCI.Close 01 00 01 02 02 03 2019 2020 2021 2023 Time e estanes « ateea.srean, 52) pltte.sasnct) 8 34 8 38 5 20200 20205 2021.0 2021.5 2022.0 2022.5 20280 Time art -0,04 (0.03) sa -e2t(65290) 8 earing tn sf ost (6.52912): pou enallen than printed pevalee 1 te alternative potas: station ‘#43 Plotof ne ACF and PACE fF snvissbietacr2.s2smct, 58)) Series: 4.52SMCI 5 ai hp My i ny I hls we (0,1,0)(1,1, Ose ill at ll pepe it Y [* des tir om i; hel il My 00 os 10 15 20 2s Lac +52 wa: (0,1,1)(2,1, sa Wo (0,1,1)(0,1, Ise we: (0,1, 19011, Oe Ws: (151,09(0,1, Lee (0, 1,19(0,1, Usa ML G arina(LogSMCL, order = (8,3, 8), ssusenal = Listloréer = e(2, 1,8), perdest)) chchresiduls (i) Residuals from ARIMA(O, 1,0)(1, 1,052] Yuna-Boxtest ata: Residuals rom ARIA §.01.4.082} O° = 83.27, Modal 1. Toa lags uses 44 MDG arinaCLORSMCT, order = (08,4), seasonal = Lstlorder = c(t, 1,2, perioes2y) cneciresteualsti2) art -0,04 (0.03) Residuals from ARIMA(O,1,1)(1,1, [52] lta bu " " ara « Log residuals ata Residuals from ARIMA. 1.11.9,152] O° = 49.25, of= 41, pra = 0.1705 Model 3, Toa lags usec 44 rfodeS2) chaceresiauals a} MB & artna(Log(SMCI), reer = (8, ty A), Sasaral = LUst(orden » ct Residuals from ARIMA(O,1,1)(1,1, [52] Madi ye 4 M (rn wm v rf Log ata Residuals rm ARID, 9 152] O° = 48.25, 61= 41, poral = 0.1705 Model 3. Toa lags usec 44 Mee artna(Leg( SRI), onaer = (8,8), Femoral = Lstlorder = c(2, 2), parsocs2)) checkrestcuslfat) art -0,04 (0.03) Residuals from ARIMA(O, 1,1), ,0)52] ACF ata Residuals rom ARIA. 1,111 52} "= 53.052, Model 2 Toa lags sec 44 Yung Box tos “a resale a8 MS & arSna(Log{SHCT-, ongor = (1,88), SemKoral = Lstlorder = c(6, 1,2, parsoes2)) cneckrestcuals5) Residuals from ARIMA(1,1,0}(0,1,1)(52] . " : : ‘Uung-Box test, Moet iy 4 pany 8 Log ! l ala Resid rom ARUN, 10,5 ,1821 O° = 49.40, Model 2 Toa lags used a4 + Speen resists 2, pale 1998, ME ce ardna(og( SRI), onaer = (8,8), Femoral = Lst(order = c(0, 2,2), parsacs2)) checkrestcunlfas) art -0.04 (0.03) Residuals from ARIMA(O,1,1}(0,1, [52] Lung Box tos maleate tr . " i Pt z ACF Log ‘la Resid rom ARIA(O.1,10,9,11521 0 Model 2 Toa lags used 44 fp stargaer(2,0B, Me, ué,tHtLae"conparszon ROME wekly mecalling", colum.Iabele = eC", 2", WI, VS, OAS), pe = “te, fast CComparisn ARIMA waeklyenadling Dependent vanate ‘mat on3 0.03001 0.08 {0.06 (0.08) (0.08) (0.08) 1-048 0.04004-048 (0.06) (0.12) (0.12) (0.08) e002 (0.08) amat 099-099-042 0.89 (.01) (1.01) (0.36) (0.36)" ‘Observations 187 167 187 107 167 167 Log Uiketnood 188.31 17296 17256 168.52 172.32 172.33 sna? 001 0.005 0.05 0.91 0.0 001 Note: p04: p<0.06; 950.01 ‘based onthe lable an the ete wo ate using checking eidual and AIC, te best modes glen by W' (0, 1,0)(1,1, Ose Using te auto via, we obtain this. avto.arina(Log(SACL.n), trace= TRUE) 1 Fitting nodels using approvinations to speed things up. amunn(n2,29(2,0,39(82] with erste anf fs aninaca20) with erst a0 4138 1 amDnacs,2,09(2,0,0)(52) with arate 515.2796 rv xnace2,29(,0,39(52] with erst S20 ates ” 318)(2,8,0)(52} with arate S16 1638 8 sninace,2,0)(,0,39(52] with onset se 3888 5 anina(e,2,0)(0,3)132] with orivt st a ARMac 2,0) with arse 540.7511 om axtmnce,2.2) with arate 5483582 fe wximecs3.2) sith erste so 7297 1 Now restitting te best nedel(s) without approxinations se sainn(o,2,0) with erste 48.7636 Fm aest nodel: aRNA(e, 3,0) wien erect 4 series; Log(s#t-W) fr naan) wh arse auto < arina(LogSHCt.M), order = €(8,1,1),Aneluesmean = TRUE) hacerestduas auto) Residuals from ARIMA(O, 1,1) Tf Log residuals Lung test 1 cata: Restvais frum ARIMA, 2,2) fr = 42.281, df = 3, arvalue = 8.5858 Based on te auto arma res the best model's the ARM A(0, 1,0)(1, 1,0)» hat we point out trough our analysis (Js bet) because i nas tho lowost AIC an ts rosa folow the normal ition ard spec al he assurgtion of he seocton 5. Use of the best subsets ARIMA approach to specify a model for the monthly close data 5.1. Time Series Close Plot of monthly data for SMC SHEN «SHEL MGSHCT. Close SHEN tS(SMCLM , start = e(2080,1), end = e(2026,2), frequeney = 2) SMCI.Close: 160 200 260 300 100 50 2019 2020 202 2022 2023 2024 Time plot(eeconpase(str.09) Decomposition of additive time series observed trene Time set test (Log(s4cl.m9) FF hagnented ickey-Fuller Test sog(stern) Im atteonative hypothesis: stationary “The Augrretod DckoyFlr (ADF) fst was candited onthe og-raformed SMG. tie sorios dala to assess stationary. Tho obiined {ost statistic was 14872, wit ala oer of3 and an assocatedp-vabio of 0.7808. Tho higher palun suggests at wo fail rjet hor ypobsei, implying insulicent evidence lo concise tel the tne serie i slatonsy. The nerstatonaty of he sors, ae sugested bythe ADF tes, indcate he presence of unit oo “To make te saris slaonary, we pase through the ferentiation process. Th pla i depicted a alow. 4,SHEOH

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