Automatic ARIMA Forecasting

Selected dependent variable: RENTABILIDAD_TELEVISA

Date: 09/21/22 Time: 19:23
Sample: 1/04/2016 8/05/2022
Included observations: 1660
Forecast length: 9

Number of estimated ARMA models: 64

Number of non-converged estimations: 1
Selected ARMA model: (5,7)(0,0)
AIC value: -4.68303640035

Actual and Forecast

.04

.03

.02

.01

.00

-.01

-.02

-.03

-.04

-.05
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

.004

.000

-.004

-.008

-.012
8 9 10 11 12 15 16 17 18
2022m8
Dependent Variable: RENTABILIDAD_TELEVISA
Method: ARMA Maximum Likelihood (BFGS)
Date: 09/21/22 Time: 19:23
Sample: 1/05/2016 8/05/2022
Included observations: 1660
Convergence achieved after 264 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C -0.000662 0.000578 -1.145224 0.2523

AR(1) -0.718846 0.094314 -7.621802 0.0000
AR(2) 0.781655 0.019647 39.78550 0.0000
AR(3) 0.714523 0.059815 11.94554 0.0000
AR(4) -0.832460 0.016534 -50.34952 0.0000
AR(5) -0.887114 0.091200 -9.727118 0.0000
MA(1) 0.720007 0.097236 7.404731 0.0000
MA(2) -0.797587 0.030049 -26.54263 0.0000
MA(3) -0.724313 0.070769 -10.23487 0.0000
MA(4) 0.849065 0.026277 32.31206 0.0000
MA(5) 0.916752 0.100237 9.145824 0.0000
MA(6) -0.028835 0.024153 -1.193850 0.2327
MA(7) -0.020322 0.022438 -0.905723 0.3652
SIGMASQ 0.000532 9.43E-06 56.43013 0.0000

R-squared 0.016444 Mean dependent var -0.000658

Adjusted R-squared 0.008676 S.D. dependent var 0.023270
S.E. of regression 0.023169 Akaike info criterion -4.682160
Sum squared resid 0.883582 Schwarz criterion -4.636495
Log likelihood 3900.193 Hannan-Quinn criter. -4.665234
F-statistic 2.116857 Durbin-Watson stat 1.998506
Prob(F-statistic) 0.011022

Inverted AR Roots .85-.52i .85+.52i -.76-.64i -.76+.64i

-.91
Inverted MA Roots .85+.52i .85-.52i .16 -.14
-.75+.65i -.75-.65i -.93
Model Selection Criteria Table
Dependent Variable: RENTABILIDAD_TELEVISA
Date: 09/21/22 Time: 19:23
Sample: 1/04/2016 8/05/2022
Included observations: 1660

Model LogL AIC* BIC HQ

(5,7)(0,0) 3900.920212 -4.683036 -4.637371 -4.666111

(7,5)(0,0) 3900.210077 -4.682181 -4.636516 -4.665255
(7,7)(0,0) 3901.678784 -4.681541 -4.629352 -4.662197
(0,0)(0,0) 3887.625266 -4.681476 -4.674953 -4.679058
(3,4)(0,0) 3894.206076 -4.680971 -4.651615 -4.670090
(1,5)(0,0) 3893.120630 -4.680868 -4.654774 -4.671196
(5,1)(0,0) 3892.985614 -4.680706 -4.654611 -4.671034
(1,1)(0,0) 3888.842828 -4.680534 -4.667486 -4.675698
(0,1)(0,0) 3887.626194 -4.680273 -4.670487 -4.676646
(1,0)(0,0) 3887.626172 -4.680272 -4.670487 -4.676646
(3,7)(0,0) 3896.510682 -4.680133 -4.640992 -4.665626
(7,3)(0,0) 3896.429981 -4.680036 -4.640895 -4.665528
(1,6)(0,0) 3893.129451 -4.679674 -4.650318 -4.668793
(2,5)(0,0) 3893.127408 -4.679672 -4.650315 -4.668791
(6,1)(0,0) 3892.986398 -4.679502 -4.650146 -4.668621
(5,2)(0,0) 3892.986111 -4.679501 -4.650145 -4.668621
(0,6)(0,0) 3891.849913 -4.679337 -4.653243 -4.669665
(6,0)(0,0) 3891.773700 -4.679245 -4.653151 -4.669574
(2,0)(0,0) 3887.746868 -4.679213 -4.666166 -4.674377
(0,2)(0,0) 3887.739939 -4.679205 -4.666158 -4.674369
(4,6)(0,0) 3895.697604 -4.679154 -4.640012 -4.664646
(6,4)(0,0) 3895.638392 -4.679082 -4.639941 -4.664575
(3,3)(0,0) 3891.570867 -4.679001 -4.652907 -4.669329
(4,7)(0,0) 3896.534170 -4.678957 -4.636554 -4.663240
(2,6)(0,0) 3893.501264 -4.678917 -4.646299 -4.666827
(7,4)(0,0) 3896.432336 -4.678834 -4.636431 -4.663117
(6,2)(0,0) 3893.393022 -4.678787 -4.646169 -4.666697
(5,6)(0,0) 3896.359415 -4.678746 -4.636343 -4.663030
(0,5)(0,0) 3890.355819 -4.678742 -4.655909 -4.670279
(0,7)(0,0) 3892.257507 -4.678624 -4.649267 -4.667743
(5,0)(0,0) 3890.235330 -4.678597 -4.655764 -4.670134
(7,0)(0,0) 3892.187300 -4.678539 -4.649183 -4.667658
(1,7)(0,0) 3893.171797 -4.678520 -4.645902 -4.666431
(3,5)(0,0) 3893.158443 -4.678504 -4.645886 -4.666414
(7,1)(0,0) 3893.114116 -4.678451 -4.645833 -4.666361
(5,3)(0,0) 3893.068906 -4.678396 -4.645778 -4.666307
(3,0)(0,0) 3887.899600 -4.678192 -4.661883 -4.672147
(0,3)(0,0) 3887.886463 -4.678176 -4.661868 -4.672132
(2,2)(0,0) 3888.820650 -4.678097 -4.658526 -4.670843
(2,1)(0,0) 3887.770036 -4.678036 -4.661727 -4.671991
(1,2)(0,0) 3887.759495 -4.678023 -4.661715 -4.671979
(6,7)(0,0) 3897.693674 -4.677944 -4.629017 -4.659810
(3,6)(0,0) 3893.619511 -4.677855 -4.641975 -4.664556
(0,4)(0,0) 3888.611777 -4.677846 -4.658275 -4.670592
(6,3)(0,0) 3893.603602 -4.677836 -4.641956 -4.664537
(4,0)(0,0) 3888.590405 -4.677820 -4.658249 -4.670566
(2,7)(0,0) 3893.574032 -4.677800 -4.641920 -4.664501
(3,2)(0,0) 3889.570586 -4.677796 -4.654963 -4.669333
(2,3)(0,0) 3889.555591 -4.677778 -4.654945 -4.669315
(7,2)(0,0) 3893.537892 -4.677756 -4.641877 -4.664458
(4,5)(0,0) 3893.158975 -4.677300 -4.641420 -4.664001
(1,4)(0,0) 3889.096850 -4.677225 -4.654393 -4.668762
(5,4)(0,0) 3893.084154 -4.677210 -4.641330 -4.663911
(4,1)(0,0) 3889.044523 -4.677162 -4.654330 -4.668699
(3,1)(0,0) 3887.981833 -4.677087 -4.657516 -4.669833
(1,3)(0,0) 3887.970877 -4.677073 -4.657503 -4.669820
(2,4)(0,0) 3889.776342 -4.676839 -4.650745 -4.667167
(4,2)(0,0) 3889.676750 -4.676719 -4.650625 -4.667047
(4,4)(0,0) 3891.571849 -4.676593 -4.643975 -4.664503
(6,5)(0,0) 3894.337788 -4.676311 -4.633907 -4.660594
(5,5)(0,0) 3893.200019 -4.676145 -4.637003 -4.661637
(4,3)(0,0) 3889.923291 -4.675811 -4.646455 -4.664930
(6,6)(0,0) 3889.489670 -4.669265 -4.623600 -4.652339
(7,6)(0,0)* 3897.206601 -4.677357 -4.628430 -4.659223
 -4.684
-4.683
-4.682
-4.681
-4.680
-4.679
(5,7)(0,0)
(7,5)(0,0)
(7,7)(0,0)
(0,0)(0,0)
(3,4)(0,0)
(1,5)(0,0)
(5,1)(0,0)
(1,1)(0,0)
(0,1)(0,0)
(1,0)(0,0)
(3,7)(0,0)
(7,3)(0,0)
(1,6)(0,0)
(2,5)(0,0)
(6,1)(0,0)
(5,2)(0,0)
Akaike Information Criteria (top 20 models)

(0,6)(0,0)
(6,0)(0,0)
(2,0)(0,0)
(0,2)(0,0)