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ARIMA Modeling & Forecast in Excel

The ARIMA model is an extension of the ARMA model that applies to non‐stationary time series (time series with one or more integrated unit‐roots). Starting with version 1.63, NumXL supports now ARIMA Wizard; The ARIMA Model Wizard automates the model construction steps: guessing initial parameters, parameters validation, goodness of fit testing, and residuals diagnosis. For more information, tutorial video, example file or to download free NumXL trial, visit us at: http://bitly.com/numxl-userguide-arima

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0% found this document useful (0 votes)
4K views2 pages

ARIMA Modeling & Forecast in Excel

The ARIMA model is an extension of the ARMA model that applies to non‐stationary time series (time series with one or more integrated unit‐roots). Starting with version 1.63, NumXL supports now ARIMA Wizard; The ARIMA Model Wizard automates the model construction steps: guessing initial parameters, parameters validation, goodness of fit testing, and residuals diagnosis. For more information, tutorial video, example file or to download free NumXL trial, visit us at: http://bitly.com/numxl-userguide-arima

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NumXL Pro
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We take content rights seriously. If you suspect this is your content, claim it here.
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UserGuideARIMAModel 1 SpiderFinancialCorp,2014

ARIMA Modeling
TheARIMAmodelisanextensionoftheARMAmodelthatappliestononstationarytimeseries(time
serieswithoneormoreintegratedunitroots).
TheARIMAModelWizardautomatesthemodelconstructionsteps:guessinginitialparameters,
parametersvalidation,goodnessoffittesting,andresidualsdiagnosis.
Tousethisfunctionality,selectthecorrespondingicononthetoolbar(orthemenuitem):

Rolloverthedatasampleonyourworksheetandselectthecorrespondingorderoftheautoregressive
(AR)componentmodel,integrationorder(d),andtheorderofthemovingaveragecomponentmodel.
Thenselectgoodnessoffittests,residualdiagnosis,anddesignatealocationonyourworksheettoprint
themodel.

UserGuideARIMAModel 2 SpiderFinancialCorp,2014

Note:Bydefault,theModelWizardgeneratesaquickguessofthevaluesofthemodelsparameters,
buttheusermaychoosetogeneratecalibratedvaluesforthemodelscoefficients.

Uponcompletion,theARMAmodelingfunctionoutputstheselectedmodel'sparametersandselected
tests/calculationsinthedesignatedlocationofyourworksheet.

Notes:
1. TheARIMAWizardaddscomments(redarrowheads)tothelabelcellstodescribethem.

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