Hey,
I am looking for a quantitative method to forecast a price over 20 years. What sophisticated method and technique would you recommend?
Some people said Prophet by facebook, how is it?
Thank you very much in advance!
For forecasting of time series data, ARIMA model is more appropriate one.
But, any forecasting model does not give reliable results in case of forcasting for 20 years
Hi!
Well, Prophet should be more powerful because it has ARIMA as a part of it.
You should try and evaluate it!
If you want to compare accuracy across many series, you can use my instructions from this paper:
https://www.researchgate.net/publication/284947381_Forecast_Error_Measures_Critical_Review_and_Practical_Recommendations
Chapter Forecast Error Measures: Critical Review and Practical Recommendations
Hi: I wouldn't try to forecast prices since they are clearly not stationary. You can calculate log returns and then possibly forecast them using lagged returns ( and then convert the forecast back to price ) but it's a very difficult endeavor indeed. In fact, if you can do it well, you won't want to tell anyone what you did because it's an extremely profitable technique.
Mark
In above, I should have said "lagged log returns" on the third line. apologies for any confusion.
Mark
- Badges
- Science topic
- Similar topics
- Filing