All Questions
Tagged with moving-window finance
3 questions
1
vote
0
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Rolling forecast vs. static training data for financial timeseries?
I want to train a statistical model to predict financial asset returns.
I'm wondering whether it would be more effective to train a rolling forecast model rather than training a single model with a ...
- 1,334
2
votes
2
answers
658
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Rolling autocorrelation vs whole series autocorrelation
Suppose we have some financial time series. When we calculate the standard ACF, $\mu$ is considered as the average of all series' values. However, if we have a volatile series, the average can be ...
- 21
2
votes
1
answer
643
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Impact of window size on estimated volatility using SMA or EWMA
When calculating volatility (either using an SMA or EWMA approach), what impact does the window size have on the volatility estimate?
- 163