Automatic ARIMA Forecasting

Selected dependent variable: RENTABILIDAD_WALMEX

Date: 09/21/22 Time: 19:21
Sample: 1/04/2016 8/05/2022
Included observations: 1660
Forecast length: 9

Number of estimated ARMA models: 64

Number of non-converged estimations: 0
Selected ARMA model: (3,3)(0,0)
AIC value: -5.59450671015

Actual and Forecast

.03

.02

.01

.00

-.01

-.02

-.03
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

.008

.006

.004

.002

.000

-.002

-.004

-.006
8 9 10 11 12 15 16 17 18
2022m8
Dependent Variable: RENTABILIDAD_WALMEX
Method: ARMA Maximum Likelihood (BFGS)
Date: 09/21/22 Time: 19:21
Sample: 1/05/2016 8/05/2022
Included observations: 1660
Convergence achieved after 77 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000484 0.000207 2.340777 0.0194

AR(1) 0.611075 0.051365 11.89672 0.0000
AR(2) -0.840205 0.014960 -56.16267 0.0000
AR(3) 0.793372 0.050601 15.67891 0.0000
MA(1) -0.694327 0.041565 -16.70479 0.0000
MA(2) 0.808324 0.019048 42.43665 0.0000
MA(3) -0.865846 0.040155 -21.56255 0.0000
SIGMASQ 0.000216 7.18E-06 30.03435 0.0000

R-squared 0.030313 Mean dependent var 0.000490

Adjusted R-squared 0.026204 S.D. dependent var 0.014913
S.E. of regression 0.014717 Akaike info criterion -5.594507
Sum squared resid 0.357795 Schwarz criterion -5.568412
Log likelihood 4651.441 Hannan-Quinn criter. -5.584835
F-statistic 7.377474 Durbin-Watson stat 2.023881
Prob(F-statistic) 0.000000

Inverted AR Roots .80 -.09-.99i -.09+.99i

Inverted MA Roots .89 -.10+.98i -.10-.98i
Model Selection Criteria Table
Dependent Variable: RENTABILIDAD_WALMEX
Date: 09/21/22 Time: 19:21
Sample: 1/04/2016 8/05/2022
Included observations: 1660

Model LogL AIC* BIC HQ

(3,3)(0,0) 4651.440569 -5.594507 -5.568412 -5.584835

(7,7)(0,0) 4659.144427 -5.594150 -5.541961 -5.574806
(4,3)(0,0) 4651.698977 -5.593613 -5.564257 -5.582732
(3,4)(0,0) 4651.697920 -5.593612 -5.564256 -5.582731
(4,4)(0,0) 4651.724199 -5.592439 -5.559821 -5.580349
(5,3)(0,0) 4651.702013 -5.592412 -5.559794 -5.580322
(3,5)(0,0) 4651.699393 -5.592409 -5.559791 -5.580319
(3,6)(0,0) 4651.974882 -5.591536 -5.555656 -5.578237
(6,3)(0,0) 4651.945382 -5.591500 -5.555621 -5.578202
(4,5)(0,0) 4651.724878 -5.591235 -5.555355 -5.577936
(5,4)(0,0) 4651.724772 -5.591235 -5.555355 -5.577936
(5,6)(0,0) 4653.584221 -5.591065 -5.548662 -5.575349
(6,5)(0,0) 4653.554104 -5.591029 -5.548626 -5.575312
(7,3)(0,0) 4652.436769 -5.590888 -5.551746 -5.576380
(3,7)(0,0) 4652.332244 -5.590762 -5.551620 -5.576254
(6,4)(0,0) 4652.124037 -5.590511 -5.551369 -5.576003
(4,6)(0,0) 4652.099370 -5.590481 -5.551340 -5.575973
(5,5)(0,0) 4651.852644 -5.590184 -5.551042 -5.575676
(1,1)(0,0) 4643.824098 -5.590150 -5.577102 -5.585314
(5,7)(0,0) 4653.617827 -5.589901 -5.544236 -5.572975
(7,5)(0,0) 4653.616482 -5.589899 -5.544234 -5.572974
(2,6)(0,0) 4649.562698 -5.589835 -5.557217 -5.577745
(7,4)(0,0) 4652.437205 -5.589683 -5.547280 -5.573967
(4,7)(0,0) 4652.341686 -5.589568 -5.547165 -5.573852
(6,7)(0,0) 4654.094566 -5.589271 -5.540344 -5.571136
(1,2)(0,0) 4643.881233 -5.589014 -5.572705 -5.582969
(2,1)(0,0) 4643.877344 -5.589009 -5.572700 -5.582964
(2,7)(0,0) 4649.820922 -5.588941 -5.553061 -5.575642
(7,6)(0,0) 4653.814366 -5.588933 -5.540006 -5.570798
(1,3)(0,0) 4644.306227 -5.588321 -5.568750 -5.581067
(3,1)(0,0) 4644.274045 -5.588282 -5.568711 -5.581028
(2,5)(0,0) 4646.976826 -5.587924 -5.558568 -5.577043
(2,2)(0,0) 4643.830258 -5.587747 -5.568177 -5.580493
(6,6)(0,0) 4651.816541 -5.587731 -5.542066 -5.570805
(4,1)(0,0) 4644.626547 -5.587502 -5.564669 -5.579039
(1,4)(0,0) 4644.614830 -5.587488 -5.564655 -5.579025
(3,2)(0,0) 4644.491088 -5.587339 -5.564506 -5.578876
(2,3)(0,0) 4644.478235 -5.587323 -5.564491 -5.578860
(1,5)(0,0) 4644.667052 -5.586346 -5.560252 -5.576674
(2,4)(0,0) 4644.653402 -5.586329 -5.560235 -5.576658
(5,1)(0,0) 4644.649764 -5.586325 -5.560231 -5.576653
(4,2)(0,0) 4644.649673 -5.586325 -5.560231 -5.576653
(6,1)(0,0) 4644.667521 -5.585142 -5.555785 -5.574261
(1,6)(0,0) 4644.667215 -5.585141 -5.555785 -5.574260
(5,2)(0,0) 4644.632198 -5.585099 -5.555743 -5.574218
(0,3)(0,0) 4640.434380 -5.584861 -5.568552 -5.578816
(0,4)(0,0) 4640.861275 -5.584170 -5.564599 -5.576916
(7,1)(0,0) 4644.810952 -5.584110 -5.551492 -5.572020
(0,6)(0,0) 4642.737934 -5.584022 -5.557927 -5.574350
(1,7)(0,0) 4644.731951 -5.584014 -5.551396 -5.571925
(0,5)(0,0) 4641.713833 -5.583993 -5.561160 -5.575530
(6,2)(0,0) 4644.709878 -5.583988 -5.551370 -5.571898
(3,0)(0,0) 4638.974025 -5.583101 -5.566792 -5.577056
(6,0)(0,0) 4641.863669 -5.582968 -5.556874 -5.573296
(7,2)(0,0) 4644.761602 -5.582845 -5.546966 -5.569547
(0,7)(0,0) 4642.738357 -5.582817 -5.553461 -5.571937
(5,0)(0,0) 4640.635926 -5.582694 -5.559861 -5.574231
(4,0)(0,0) 4639.622592 -5.582678 -5.563107 -5.575424
(0,2)(0,0) 4637.614999 -5.582669 -5.569622 -5.577833
(7,0)(0,0) 4641.878512 -5.581781 -5.552425 -5.570901
(2,0)(0,0) 4635.962876 -5.580678 -5.567631 -5.575842
(0,1)(0,0) 4632.147657 -5.577286 -5.567501 -5.573659
(1,0)(0,0) 4631.225158 -5.576175 -5.566390 -5.572548
(0,0)(0,0) 4626.177741 -5.571298 -5.564775 -5.568881
 -5.595
-5.594
-5.593
-5.592
-5.591
-5.590
-5.589
(3,3)(0,0)
(7,7)(0,0)
(4,3)(0,0)
(3,4)(0,0)
(4,4)(0,0)
(5,3)(0,0)
(3,5)(0,0)
(3,6)(0,0)
(6,3)(0,0)
(4,5)(0,0)
(5,4)(0,0)
(5,6)(0,0)
(6,5)(0,0)
(7,3)(0,0)
(3,7)(0,0)
(6,4)(0,0)
Akaike Information Criteria (top 20 models)

(4,6)(0,0)
(5,5)(0,0)
(1,1)(0,0)
(5,7)(0,0)