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Why Doesn't ARIMA Predict Future Time Series Closing Prices?
I’m really hoping someone can explain what’s what when using ARIMA for Time Series Predictions!?
When I’m using ARIMA and this set up:
Pls see images.
I used a huge window size so I could see what was happening chart wise over the last few months. There’s no zoom in on the charts?
At first I thought I was training on the window size of data and then testing on unseen data (I have 20 years of Dow Jones Open/High/Low/Close plus technical indicators from 2000 to 2020). The reason being is because when I put in a very high window size like 4500 days (approx 18 years of data) I would only see about 2 years of charting results from 2018 to present (which I assumes was the test data) whereas if I had a window size of only 60 days I would see a whole chart of 2000 to 2020.
But... all the relative error figures were very small, like, 1 or 2%, — which is far too good to be true, right? I assume that is because I am training on one subset of data and testing on the same data (as it rolls along using my window size and step value settings)?
The questions I have are:
1) How do I make ARIMA test on two different data sets? One seen and one unseen and untrained? With the Cross Validation operator? And if that is the operator I need, how do I ensure ARIMA trains of specific date ranges so I can make it include calm, low volatility periods and also highly volatile periods, like during Covid19?
2) Make ARIMA test on untrained data?
3) I want the training period to be unanchored and cover the the first 75% of the dataset (2000 to 2015)?
4) How do I get ARIMA to predict the next 2 (or 5, or 10) days ahead of the last date or row of data I have in Excel — which will be 3rd August — when I update my Excel with Yahoo finance data tomorrow night. I.e., so ARIMA will be predicting the closing prices for the 4th and 5th Aug and beyond?
I’ve tried many window size combinations but the low relative errors must be due to the point I raised about not being tested on unseen data.
Even using ARIMA with a small window size of 10 days it doesn’t make a predictions into the future.
I’m hoping those that are interested in Financial Time Series forecasting will understand these issues!
Thanks very much in advance,