Autoregressive Integrated Moving Average - ARIMA

Dictionary Says

Definition of 'Autoregressive Integrated Moving Average - ARIMA'

A statistical analysis model that uses time series data to predict future trends. It is a form of regression analysis that seeks to predict future movements along the seemingly random walk taken by stocks and the financial market by examining the differences between values in the series instead of using the actual data values. Lags of the differenced series are referred to as "autoregressive" and lags within forecasted data are referred to as "moving average."

Investopedia Says

Investopedia explains 'Autoregressive Integrated Moving Average - ARIMA'

This model type is generally referred to as ARIMA(p,d,q), with the integers referring to the autoregressive, integrated and moving average parts of the data set, respectively. ARIMA modeling can take into account trends, seasonality, cycles, errors and non-stationary aspects of a data set when making forecasts.

Sign Up For Term of the Day!

Try Our Stock Simulator!

Test your trading skills!

Related Definitions

  1. Box-Jenkins Model

    A mathematical ...
  2. Statistics

    A type of ...
  3. Regression

    A statistical ...
  4. Stochastic Modeling

    A method of ...
  5. Quantitative Analysis

    A business or ...
  6. Scenario Analysis

    The process of ...
  7. Risk

    The chance that ...
  8. Universe Of Securities

    A set of ...
  9. Arithmetic Mean

    A mathematical ...
  10. Fundamental Analysis

    A method of ...

Articles Of Interest

  1. Economic Indicators For The Do-It-Yourself Investor

    These tools put the market in your hands.
  2. Does Your Investment Manager Measure Up?

    These key stats will reveal whether your advisor is a league leader or a benchwarmer.
  3. Financial Markets: Random, Cyclical Or Both?

    Are the markets random or cyclical? It depends on who you ask. Here, we go over both sides of the argument.
  4. Testing 3 Types Of Analysts

    Different clients require different research reports. Which type of analyst do you need?
  5. Find Turning Points With Single-Day Patterns

    On their own, single-day patterns can be unreliable, but that doesn't mean they can't be used effectively.
  6. Simple Moving Averages Make Trends Stand Out

    The moving average is easy to calculate and, once plotted on a chart, is a powerful visual trend-spotting tool.
  7. Weighted Moving Averages: The Basics

    We take a closer look at the linearly weighted moving average and the exponentially smoothed moving average.
  8. An Introduction To Oscillators

    Find out how this indicator may help improve the average investor's entry and exit points.
  9. Stochastics: An Accurate Buy And Sell Indicator

    Find out how stochastics are used to create buy and sell signals for traders.
  10. Elliott Wave Theory

    Acquaint yourself with the principle built on the discovery that stock markets did not behave in a chaotic manner.

comments powered by Disqus
Recommended
Loading, please wait...
Trading Center