I have a question that probably applies to ARIMA forecasting in general,
but the specific piece of econometrics software I'm using is EViews.
When I use an ARIMA(1,1,0) model to model ~150 pieces of stock market
data and then use the EViews software to forecast the next 100 values,
Every forecast after about the sixth forecasted value is the same to
around 10 significant figures.
My question is: Why is this happening? My professor said that ARIMA(1,1,0)
should be able to forecast varying values way past the sixth value.
Thanks,
Matt
--
Matt Kaar
Georgia Tech, CS Major
Email: [EMAIL PROTECTED]
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