ARIMA (AutoRegressive Integrated Moving Average) is a time series forecasting model used to analyze and make predictions based on past data. In Python, ARIMA can be implemented using the statsmodels library. The ARIMA model can be fit using the ARIMA() function, with the order of differencing, the order of the autoregression (AR), and the order of the moving average (MA) as inputs.
SARIMA (Seasonal ARIMA) extends ARIMA to handle seasonality in the data, by adding two more parameters for the seasonal order of differencing and the seasonal order of the moving average.
There are other similar models like SARIMAX (Seasonal ARIMA with exogenous variables) which adds the ability to incorporate external variables that may have an impact on the time series. The VAR (Vector Autoregression) model is another model that can be used for multivariate time series analysis.
ARIMA models can be used for both prices and volatility. An ARIMA model can be used to forecast future prices by modeling the time series patterns in the historical price data. Similarly, an ARIMA model can also be used to forecast future volatility by modeling the time series patterns in the historical volatility data.
Here is a simple script to perform an ARIMA analysis in Python using the statsmodels library:
import numpy as np import pandas as pd import statsmodels.api as sm # Load data into a pandas DataFrame data = pd.read_csv("data.csv") # Fit the ARIMA model to the time series data model = sm.tsa.ARIMA(data, order=(p, d, q)) model_fit = model.fit() # Summarize the model fit print(model_fit.summary()) # Forecast the next k steps ahead forecast = model_fit.forecast(steps=k)
q are the order of the autoregression (AR), the order of differencing (I), and the order of the moving average (MA) respectively.
k is the number of steps ahead to forecast. The
data should be a pandas DataFrame that contains the time series data you want to forecast.
It is important to note that finding the best parameters
q for your time series data may require some trial and error and that different time series data may require different values for