Automatic ARIMA Forecasting

Selected dependent variable: RENTABILIDAD_ORO

Date: 09/21/22 Time: 19:35
Sample: 1/04/2016 8/05/2022
Included observations: 1658
Forecast length: 9

Number of estimated ARMA models: 64

Number of non-converged estimations: 0
Selected ARMA model: (2,2)(0,0)
AIC value: -6.7749765493

Actual and Forecast

.03

.02

.01

.00

-.01
22 25 26 27 28 29 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

-.004
8 9 10 11 12 15 16 17 18
2022m8
Dependent Variable: RENTABILIDAD_ORO
Method: ARMA Maximum Likelihood (BFGS)
Date: 09/21/22 Time: 19:35
Sample: 1/05/2016 8/05/2022
Included observations: 1658
Convergence achieved after 63 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000355 0.000199 1.782031 0.0749

AR(1) 0.093005 0.003577 25.99748 0.0000
AR(2) -0.997930 0.002260 -441.5184 0.0000
MA(1) -0.103373 0.005199 -19.88197 0.0000
MA(2) 0.993084 0.005741 172.9782 0.0000
SIGMASQ 6.63E-05 1.87E-06 35.37743 0.0000

R-squared 0.017770 Mean dependent var 0.000356

Adjusted R-squared 0.014797 S.D. dependent var 0.008217
S.E. of regression 0.008156 Akaike info criterion -6.774977
Sum squared resid 0.109899 Schwarz criterion -6.755387
Log likelihood 5622.456 Hannan-Quinn criter. -6.767715
F-statistic 5.977290 Durbin-Watson stat 2.046413
Prob(F-statistic) 0.000017

Inverted AR Roots .05-1.00i .05+1.00i

Inverted MA Roots .05+1.00i .05-1.00i
Model Selection Criteria Table
Dependent Variable: RENTABILIDAD_ORO
Date: 09/21/22 Time: 19:35
Sample: 1/04/2016 8/05/2022
Included observations: 1658

Model LogL AIC* BIC HQ

(2,2)(0,0) 5622.455559 -6.774977 -6.755387 -6.767715

(3,2)(0,0) 5622.931360 -6.774344 -6.751489 -6.765873
(2,3)(0,0) 5622.931292 -6.774344 -6.751489 -6.765872
(4,2)(0,0) 5622.931357 -6.773138 -6.747018 -6.763456
(2,4)(0,0) 5622.931349 -6.773138 -6.747018 -6.763456
(4,3)(0,0) 5623.748002 -6.772917 -6.743532 -6.762025
(7,6)(0,0) 5628.698123 -6.771650 -6.722675 -6.753497
(3,4)(0,0) 5619.855995 -6.768222 -6.738837 -6.757330
(3,3)(0,0) 5618.492333 -6.767783 -6.741663 -6.758101
(2,5)(0,0) 5619.229340 -6.767466 -6.738081 -6.756574
(3,5)(0,0) 5620.122635 -6.767337 -6.734687 -6.755235
(7,7)(0,0) 5626.046338 -6.767245 -6.715005 -6.747882
(5,3)(0,0) 5619.884542 -6.767050 -6.734400 -6.754948
(2,6)(0,0) 5619.626329 -6.766739 -6.734089 -6.754636
(6,2)(0,0) 5619.566753 -6.766667 -6.734017 -6.754564
(4,4)(0,0) 5619.467763 -6.766547 -6.733897 -6.754445
(4,5)(0,0) 5620.357006 -6.766414 -6.730499 -6.753101
(5,4)(0,0) 5620.347833 -6.766403 -6.730488 -6.753090
(6,3)(0,0) 5620.107221 -6.766112 -6.730197 -6.752800
(3,6)(0,0) 5620.090345 -6.766092 -6.730177 -6.752780
(6,5)(0,0) 5621.727105 -6.765654 -6.723209 -6.749921
(2,7)(0,0) 5619.717646 -6.765643 -6.729728 -6.752330
(7,2)(0,0) 5619.643016 -6.765552 -6.729638 -6.752240
(4,6)(0,0) 5620.467953 -6.765341 -6.726161 -6.750818
(6,4)(0,0) 5620.467785 -6.765341 -6.726161 -6.750818
(5,5)(0,0) 5620.439640 -6.765307 -6.726127 -6.750784
(3,7)(0,0) 5620.264543 -6.765096 -6.725916 -6.750573
(7,3)(0,0) 5620.240660 -6.765067 -6.725887 -6.750544
(4,7)(0,0) 5620.463249 -6.764129 -6.721684 -6.748396
(7,4)(0,0) 5620.460507 -6.764126 -6.721681 -6.748393
(5,6)(0,0) 5620.351932 -6.763995 -6.721550 -6.748262
(6,6)(0,0) 5621.280915 -6.763909 -6.718199 -6.746966
(0,0)(0,0) 5608.810500 -6.763342 -6.756812 -6.760922
(0,1)(0,0) 5609.742193 -6.763260 -6.753465 -6.759629
(1,0)(0,0) 5609.700292 -6.763209 -6.753414 -6.759578
(1,1)(0,0) 5610.467478 -6.762928 -6.749868 -6.758087
(2,0)(0,0) 5610.145940 -6.762540 -6.749480 -6.757699
(0,2)(0,0) 5610.144982 -6.762539 -6.749479 -6.757698
(7,5)(0,0) 5620.075357 -6.762455 -6.716745 -6.745512
(5,7)(0,0) 5619.738535 -6.762049 -6.716339 -6.745106
(1,2)(0,0) 5610.380037 -6.761616 -6.745291 -6.755565
(2,1)(0,0) 5610.350351 -6.761581 -6.745256 -6.755529
(0,3)(0,0) 5610.154594 -6.761345 -6.745020 -6.755293
(3,0)(0,0) 5610.152398 -6.761342 -6.745017 -6.755291
(1,3)(0,0) 5610.429908 -6.760470 -6.740880 -6.753209
(0,4)(0,0) 5610.222907 -6.760221 -6.740631 -6.752959
(4,0)(0,0) 5610.189705 -6.760181 -6.740591 -6.752919
(3,1)(0,0) 5610.157761 -6.760142 -6.740552 -6.752881
(4,1)(0,0) 5610.864978 -6.759789 -6.736934 -6.751317
(0,6)(0,0) 5611.703637 -6.759594 -6.733474 -6.749912
(6,0)(0,0) 5611.691880 -6.759580 -6.733460 -6.749898
(0,5)(0,0) 5610.336051 -6.759151 -6.736296 -6.750679
(5,0)(0,0) 5610.252247 -6.759050 -6.736195 -6.750578
(1,4)(0,0) 5610.211436 -6.759001 -6.736146 -6.750529
(1,5)(0,0) 5611.055584 -6.758813 -6.732693 -6.749131
(5,1)(0,0) 5611.038653 -6.758792 -6.732672 -6.749110
(6,1)(0,0) 5611.757124 -6.758453 -6.729068 -6.747560
(7,0)(0,0) 5611.743321 -6.758436 -6.729051 -6.747544
(1,6)(0,0) 5611.724402 -6.758413 -6.729028 -6.747521
(0,7)(0,0) 5611.723087 -6.758411 -6.729026 -6.747519
(1,7)(0,0) 5611.738056 -6.757223 -6.724573 -6.745121
(7,1)(0,0) 5611.729309 -6.757213 -6.724563 -6.745110
(5,2)(0,0) 5610.590053 -6.757045 -6.727660 -6.746153
(6,7)(0,0) 5616.335894 -6.756738 -6.707763 -6.738585
 -6.776
-6.774
-6.772
-6.770
-6.768
-6.766
(2,2)(0,0)
(3,2)(0,0)
(2,3)(0,0)
(4,2)(0,0)
(2,4)(0,0)
(4,3)(0,0)
(7,6)(0,0)
(3,4)(0,0)
(3,3)(0,0)
(2,5)(0,0)
(3,5)(0,0)
(7,7)(0,0)
(5,3)(0,0)
(2,6)(0,0)
(6,2)(0,0)
(4,4)(0,0)
Akaike Information Criteria (top 20 models)

(4,5)(0,0)
(5,4)(0,0)
(6,3)(0,0)
(3,6)(0,0)