A Moving Average is a process where each value is a function of the noise in the past observations. These are the random error terms which follow a white noise process. The general form is MA(q), where xt depends on q past values. Just like AR models, this also has a regression like structure, however, instead […]

# Financial Time Series Analysis in R

## Estimating Moving Average (MA) Model in R

We will now see how we can fit an MA model to a given time series using the arima() function in R. Recall that MA model is an ARIMA(0, 0, 1) model. We can use the arima() function in R to fit the MA model by specifying order = c(0, 0, 1). We will perform the estimation using the msft_ts time series that we […]

## ARIMA Modelling in R

We now have a fair idea about how we can use ARIMA modelling in R to estimate and forecast a time series. This is also called the Box–Jenkins method, named after the statisticians George Box and Gwilym Jenkins, that applies autoregressive moving average (ARMA) or autoregressive integrated moving average (ARIMA) models to find the best fit of a time-series […]

## ARIMA Modelling – Identify Model for a Time Series

The first step is to identify a possible model for a given time series. To do so, we need three things: a time series plot of the data, ACF plot and the ACF plot. Analysis of these three plots can help us fairly identify the suitable model. Observing the Time Series Plot The very first […]

## Forecasting with ARIMA Modeling in R – Case Study

In this lesson, we will take a new dataset (stock prices) and use all that we have learned to create a forecast using the ARIMA Models. We will take the closing prices of Facebook stock for this example. Step 1: Load the Data We will load Facebook daily closing prices for the past 3 years […]

## Automatic Identification of Model Using auto.arima() Function in R

auto.arima() Function R also has a package called forecast, which contains many forecasting functions for time series and linear models. It also contains a very useful function called auto.arima, which returns the best ARIMA model according to either AIC, AICc or BIC value. The function conducts a search over possible models within the order constraints provided. […]

## Financial Time Series in R – Course Conclusion

This course provided an overview of the fundamentals of time series analysis and how we can perform time series analysis in R. We reviewed some of the most important concepts of time series analysis and looked at the process involved in modeling a time series using the ARIMA models. Time series analysis is a complex […]