9 Functions — Alphabetical List

forecast

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Syntax
[Y,YMSE] = forecast(Mdl,numPeriods)
[Y,YMSE,V] = forecast(Mdl,numPeriods)
[Y,YMSE,V] = forecast(Mdl,numPeriods,Name,Value)

Description
[Y,YMSE] = forecast(Mdl,numPeriods)
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Input Arguments
Mdl — ARIMA or ARIMAX model
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9 Functions — Alphabetical List

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Output Arguments
Y — Minimum mean square error forecasts of response data

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YMSE — Mean square errors forecasts of conditional mean


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9 Functions — Alphabetical List

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V — Minimum mean square error forecasts of conditional variances of future model innovations

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Examples
Forecast the Conditional Mean Response

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Mdl = arima('MA',{0.5,-0.3},'SMA',0.4,'SMALags',12,...

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'Constant',0.04,'Variance',0.2);
rng(200);
Y = simulate(Mdl,130);

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ToEstMdl = arima('MALags',1:2,'SMALags',12);
EstMdl = estimate(ToEstMdl,Y(1:100));

ARIMA(0,0,2) Model with Seasonal MA(12):

-----------------------------------------
Conditional Probability Distribution: Gaussian

Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant 0.20403 0.0690637 2.95424
MA{1} 0.502116 0.0972984 5.16058
MA{2} -0.20174 0.104466 -1.93115
SMA{12} 0.27028 0.109071 2.47803
Variance 0.18681 0.0327319 5.70728

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[YF YMSE] = forecast(EstMdl,30,'Y0',Y(1:100));

figure
h1 = plot(Y,'Color',[.7,.7,.7]);
hold on
h2 = plot(101:130,YF,'b','LineWidth',2);
h3 = plot(101:130,YF + 1.96*sqrt(YMSE),'r:',...
'LineWidth',2);
plot(101:130,YF - 1.96*sqrt(YMSE),'r:','LineWidth',2);
legend([h1 h2 h3],'Observed','Forecast',...
'95% Confidence Interval','Location','NorthWest');
title(['30-Period Forecasts and Approximate 95% '...
'Confidence Intervals'])
hold off

D8D2
9 Functions — Alphabetical List

Forecast the NASDAQ Composite Index

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load Data_EquityIdx
nasdaq = DataTable.NASDAQ(1:1500);

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nasdaqModel = arima(1,1,1);
nasdaqFit = estimate(nasdaqModel,nasdaq);

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 forecast

ARIMA(1,1,1) Model:
--------------------
Conditional Probability Distribution: Gaussian

Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant 0.430311 0.185555 2.31905
AR{1} -0.0743926 0.0819849 -0.907394
MA{1} 0.311259 0.0772656 4.02843
Variance 27.826 0.636248 43.7346

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[Y,YMSE] = forecast(nasdaqFit,500,'Y0',nasdaq);



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lower = Y - 1.96*sqrt(YMSE);
upper = Y + 1.96*sqrt(YMSE);

figure
plot(nasdaq,'Color',[.7,.7,.7]);
hold on
h1 = plot(1501:2000,lower,'r:','LineWidth',2);
plot(1501:2000,upper,'r:','LineWidth',2)
h2 = plot(1501:2000,Y,'k','LineWidth',2);
legend([h1 h2],'95% Interval','Forecast',...
'Location','NorthWest')
title('NASDAQ Composite Index Forecast')
hold off

D8D<
9 Functions — Alphabetical List




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