Forcast function for ARMA models

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Patricia Alejandra Palacios Romero 2018-7-18

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https://ww2.mathworks.cn/matlabcentral/answers/410974-forcast-function-for-arma-models

评论： Aman 2024-10-1，8:18

I'm trying to use the built-in function forecast. But when I apply it I'm just getting a constant value. Is there any reason for that? or am I just using it wrong? Here is more or less the code:

toEstMdl = arima(2,0,0);
EstMdl = estimate(toEstMdl,Residuals);
estValues = forecast(EstMdl,k);

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Aman 2024-10-1，8:18

Hi @Patricia Alejandra Palacios Romero,

As per my understanding below could be the possible reasons why you are getting constant value as the output of the "forecast" function:

The (2,0,0) model implies an AR(2) model with no differencing and no MA terms. Ensure this is the correct specification for your data.
'k' should be a positive integer indicating how many steps ahead you want to forecast.
If the model includes a constant term and the data is mean-reverting around a constant level, forecasts can appear constant, especially if no trend or seasonal components are present.

Please try to analyse your code as per the above. Hope it helps!

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