Hi,
I am currently working on a research project which aims to develop a forecasting model for prices of agricultural commodities. I am mainly using ARIMA method for this purpose. If my ARIMA Model is such that there exists ARCH effect/Heteroskedasticity in that. Then can I use the same ARIMA model for Price forecasting. Can anybody advise me on this?
Thank you
It would be better to control the Heteroskedasticity using a GARCH-type model to forecast.
Dear Muhammad Abubakr Naeem and Sitara Karim , my question is that whether after getting the ARCH Effect in ARIMA model, this ARIMA Model can still be used for time series forecasting or not?
As GARCH Model checks the presence the volatility in time series, which is not the objective of our research.
Dear Ette Etuk , thank you for your reply, can you please elaborate that how the forecasting accuracy of the ARIMA Model will not be affected? if we got to know from ARCH effect is present in the series.
If not ARIMA, which model will suffice the purpose of forecasting in this type of series.
Thank you.
Based on this video, you can definitely forecast using ARIMA model.
https://www.youtube.com/watch?v=Iv-AO9lIMz8
I would suggest you use LSTM which is capable of both short and long term dependency in data variation.
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