ARIMA Model Forecasting issue

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Michael Mueller
Michael Mueller il 1 Mar 2019
Commentato: Stephen Gray il 27 Apr 2025
I am trying to creat an ARIMA model to predict future data points. Using the Econometrics App I fitted a model ARIMA(4,1,3) that fits the data very well. I then try to forcast the data using forcast.
SteelData1Log = log(SteelData1);
SteelData1LogDiff = [NaN; diff(SteelData1Log)];
ARIMA_SteelData1LogDiff2 = arima('Constant',NaN,'ARLags',1:4,'D',1,'MALags',1:3,'Distribution','Gaussian');
ARMA = estimate(ARIMA_SteelData1LogDiff2,SteelData1LogDiff,'Display','off');
yF1 = forecast(ARMA,44,'Y0',August2017.Var2(1:100));
The result does not follow the data, and has a logorithmic trend to it.
  2 Commenti
BN
BN il 18 Nov 2022
Dear @Michael MuellerMichael,
Did you find an answer for this problem?
Stephen Gray
Stephen Gray il 27 Apr 2025
I too am looking for an answer to this!

Accedi per commentare.

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