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I have a multivariate time series like this 

Time      Price      Volume       Buy_Side_Broker_Type   Sell_Side_Broker_Type
09:00:00  4.590       60              HiInfBroker           LInfBroker
09:00:23  4.662       34              MInfBroker            LInfBroker
09:00:45  4.562       41              LInfBroker            HiInfBroker

I want to forecast the price using volume and Buy side broker type and sell side broker type as independent variables. How to do it for such stochastic process in R?

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    $\begingroup$ Perhaps the simplest would be an ARIMA model with price as the dependent variable and volume and brokers as exogenous regressors. But stock prices and other financials are notoriously difficult to forecast... $\endgroup$
    – Richard Hardy
    Commented Feb 26, 2015 at 20:57
  • $\begingroup$ i think u can use stochvol package with R programm also winbugs is useful $\endgroup$
    – Fatma Elshinawy
    Commented Apr 13, 2015 at 21:37

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