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ARIMA model forecast for nonstationary data
Maven
Hello,
I am using ARIMA(3,1,3) to forecast the S&P 500 close index. The (p,d,q) are determined from Optimize Parameters (Grid). However, the forecast values look strange to me (way too big). If I change to ARIMA(3,0,3) it turns out fine. Does this mean when d is not zero I need to do some other way to forecast?
The rmp and data files are attached. Thanks for anyone's help!
I am using ARIMA(3,1,3) to forecast the S&P 500 close index. The (p,d,q) are determined from Optimize Parameters (Grid). However, the forecast values look strange to me (way too big). If I change to ARIMA(3,0,3) it turns out fine. Does this mean when d is not zero I need to do some other way to forecast?
The rmp and data files are attached. Thanks for anyone's help!
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