Automatic ARIMA Forecasting

Selected dependent variable: RENTABILIDAD_COCACOLA

Date: 09/21/22 Time: 19:27
Sample: 1/04/2016 8/05/2022
Included observations: 1659
Forecast length: 9

Number of estimated ARMA models: 64

Number of non-converged estimations: 0
Selected ARMA model: (7,5)(0,0)
AIC value: -6.45386422621

Actual and Forecast

.020

.015

.010

.005

.000

-.005

-.010

-.015
25 26 27 28 29 1 2 3 4 5 8 9 10 11 12 15 16 17 18
2022m7 2022m8

Forecast Actual

Forecast Comparison Graph

.004

.003

.002

.001

.000

-.001

-.002

-.003
8 9 10 11 12 15 16 17 18
2022m8
Dependent Variable: RENTABILIDAD_COCACOLA
Method: ARMA Maximum Likelihood (BFGS)
Date: 09/21/22 Time: 19:27
Sample: 1/05/2016 8/05/2022
Included observations: 1659
Convergence not achieved after 500 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000421 0.000233 1.806219 0.0711

AR(1) 0.590126 0.068845 8.571815 0.0000
AR(2) -0.447303 0.101094 -4.424631 0.0000
AR(3) -0.145271 0.126631 -1.147199 0.2515
AR(4) 0.332739 0.108671 3.061889 0.0022
AR(5) -0.796963 0.078148 -10.19815 0.0000
AR(6) -0.093402 0.026626 -3.507881 0.0005
AR(7) 0.034508 0.022670 1.522163 0.1282
MA(1) -0.659280 0.069067 -9.545454 0.0000
MA(2) 0.464898 0.104892 4.432141 0.0000
MA(3) 0.152076 0.124515 1.221348 0.2221
MA(4) -0.383081 0.101246 -3.783675 0.0002
MA(5) 0.873417 0.067314 12.97534 0.0000
SIGMASQ 9.04E-05 2.88E-06 31.38085 0.0000

R-squared 0.030102 Mean dependent var 0.000422

Adjusted R-squared 0.022438 S.D. dependent var 0.009655
S.E. of regression 0.009546 Akaike info criterion -6.453870
Sum squared resid 0.149913 Schwarz criterion -6.408182
Log likelihood 5367.485 Hannan-Quinn criter. -6.436935
F-statistic 3.927332 Durbin-Watson stat 1.995807
Prob(F-statistic) 0.000002

Inverted AR Roots .80+.58i .80-.58i .16 -.04-.99i

-.04+.99i -.26 -.85
Inverted MA Roots .81+.58i .81-.58i -.04-.99i -.04+.99i
-.90
Model Selection Criteria Table
Dependent Variable: RENTABILIDAD_COCACOLA
Date: 09/21/22 Time: 19:27
Sample: 1/04/2016 8/05/2022
Included observations: 1659

Model LogL AIC* BIC HQ

(7,5)(0,0) 5367.480376 -6.453864 -6.408177 -6.436930

(4,7)(0,0) 5365.704429 -6.452929 -6.410505 -6.437204
(7,4)(0,0) 5365.417543 -6.452583 -6.410159 -6.436858
(3,6)(0,0) 5363.412925 -6.452577 -6.416680 -6.439272
(6,3)(0,0) 5362.974170 -6.452048 -6.416151 -6.438743
(7,3)(0,0) 5363.076096 -6.450966 -6.411805 -6.436451
(5,6)(0,0) 5364.073918 -6.450963 -6.408539 -6.435238
(6,4)(0,0) 5363.048770 -6.450933 -6.411772 -6.436418
(5,7)(0,0) 5364.587824 -6.450377 -6.404690 -6.433443
(7,2)(0,0) 5361.100658 -6.449790 -6.413892 -6.436484
(3,5)(0,0) 5359.493465 -6.449058 -6.416424 -6.436962
(6,7)(0,0) 5364.408420 -6.448955 -6.400004 -6.430811
(5,3)(0,0) 5359.273320 -6.448792 -6.416158 -6.436696
(4,4)(0,0) 5359.246471 -6.448760 -6.416126 -6.436664
(3,3)(0,0) 5357.244874 -6.448758 -6.422651 -6.439081
(7,6)(0,0) 5364.197372 -6.448701 -6.399750 -6.430557
(4,5)(0,0) 5359.816503 -6.448242 -6.412344 -6.434936
(3,4)(0,0) 5357.785597 -6.448204 -6.418834 -6.437318
(0,7)(0,0) 5357.785283 -6.448204 -6.418834 -6.437318
(5,4)(0,0) 5359.714752 -6.448119 -6.412222 -6.434813
(3,7)(0,0) 5360.623637 -6.448009 -6.408848 -6.433494
(6,6)(0,0) 5362.518505 -6.447882 -6.402195 -6.430948
(1,4)(0,0) 5355.506570 -6.447868 -6.425024 -6.439401
(4,1)(0,0) 5355.474713 -6.447830 -6.424986 -6.439362
(0,6)(0,0) 5356.448605 -6.447798 -6.421691 -6.438121
(1,6)(0,0) 5357.343221 -6.447671 -6.418301 -6.436785
(7,7)(0,0) 5364.199450 -6.447498 -6.395284 -6.428144
(4,6)(0,0) 5360.169433 -6.447462 -6.408301 -6.432946
(1,5)(0,0) 5356.159608 -6.447450 -6.421343 -6.437773
(2,4)(0,0) 5356.149784 -6.447438 -6.421331 -6.437761
(6,5)(0,0) 5361.100976 -6.447379 -6.404955 -6.431654
(5,5)(0,0) 5360.054922 -6.447324 -6.408163 -6.432808
(2,5)(0,0) 5357.001831 -6.447260 -6.417889 -6.436373
(6,0)(0,0) 5355.924214 -6.447166 -6.421059 -6.437489
(2,6)(0,0) 5357.899502 -6.447136 -6.414502 -6.435040
(1,7)(0,0) 5357.801311 -6.447018 -6.414384 -6.434922
(4,3)(0,0) 5356.624727 -6.446805 -6.417434 -6.435919
(6,2)(0,0) 5357.554357 -6.446720 -6.414086 -6.434624
(5,1)(0,0) 5355.513625 -6.446671 -6.420564 -6.436994
(4,2)(0,0) 5355.511842 -6.446669 -6.420562 -6.436992
(7,0)(0,0) 5356.499600 -6.446654 -6.417284 -6.435768
(2,7)(0,0) 5358.456028 -6.446602 -6.410704 -6.433296
(6,1)(0,0) 5356.214327 -6.446310 -6.416940 -6.435424
(7,1)(0,0) 5356.695023 -6.445684 -6.413050 -6.433588
(5,2)(0,0) 5355.477053 -6.445421 -6.416051 -6.434535
(1,1)(0,0) 5350.279430 -6.445183 -6.432130 -6.440345
(2,2)(0,0) 5352.082672 -6.444946 -6.425366 -6.437688
(1,2)(0,0) 5350.794590 -6.444599 -6.428282 -6.438551
(2,1)(0,0) 5350.790715 -6.444594 -6.428277 -6.438546
(5,0)(0,0) 5352.286674 -6.443986 -6.421143 -6.435519
(0,5)(0,0) 5352.219955 -6.443906 -6.421062 -6.435439
(4,0)(0,0) 5350.885635 -6.443503 -6.423923 -6.436245
(0,1)(0,0) 5347.810656 -6.443412 -6.433622 -6.439784
(1,3)(0,0) 5350.802032 -6.443402 -6.423822 -6.436144
(3,1)(0,0) 5350.796328 -6.443395 -6.423815 -6.436138
(0,3)(0,0) 5349.699068 -6.443278 -6.426961 -6.437230
(1,0)(0,0) 5347.631222 -6.443196 -6.433406 -6.439567
(0,4)(0,0) 5350.619918 -6.443183 -6.423602 -6.435925
(0,2)(0,0) 5348.555572 -6.443105 -6.430051 -6.438267
(3,0)(0,0) 5349.333360 -6.442837 -6.426520 -6.436789
(2,0)(0,0) 5348.281534 -6.442775 -6.429721 -6.437936
(2,3)(0,0) 5350.805546 -6.442201 -6.419357 -6.433734
(3,2)(0,0) 5350.090494 -6.441339 -6.418495 -6.432872
(0,0)(0,0) 5344.657213 -6.440816 -6.434290 -6.438397
 -6.454
-6.453
-6.452
-6.451
-6.450
-6.449
-6.448
(7,5)(0,0)
(4,7)(0,0)
(7,4)(0,0)
(3,6)(0,0)
(6,3)(0,0)
(7,3)(0,0)
(5,6)(0,0)
(6,4)(0,0)
(5,7)(0,0)
(7,2)(0,0)
(3,5)(0,0)
(6,7)(0,0)
(5,3)(0,0)
(4,4)(0,0)
(3,3)(0,0)
(7,6)(0,0)
Akaike Information Criteria (top 20 models)

(4,5)(0,0)
(3,4)(0,0)
(0,7)(0,0)
(5,4)(0,0)