Autoregressive

What is 'Autoregressive'

Autoregressive is a stochastic process used in statistical calculations in which future values are estimated based on a weighted sum of past values. An autoregressive process operates under the premise that past values have an effect on current values. A process considered AR(1) is the first order process, meaning that the current value is based on the immediately preceding value. An AR(2) process has the current value based on the previous two values.

BREAKING DOWN 'Autoregressive'

Autoregressive processes are used by investors in technical analysis. Trends, moving averages and regressions take into account past prices in an effort to create forecasts of future price movement. One drawback to this type of analysis is that past prices won't always be the best predictor of future movements, especially if the underlying fundamentals of a company have changed.

RELATED TERMS
  1. Autoregressive Integrated Moving ...

    A statistical analysis model that uses time series data to predict ...
  2. Process Value Analysis - PVA

    A strategy that businesses use to determine whether all of their ...
  3. Goods In Process

    An inventory account that is usually identified on the balance ...
  4. Adjusted Net Worth

    A method for valuing an insurance company using capital values, ...
  5. Carrying Value

    An accounting measure of value, where the value of an asset or ...
  6. Valuation

    The process of determining the current worth of an asset or company. ...
Related Articles
  1. Fundamental Analysis

    Calculating Future Value

    Future value is the value of an asset or cash at a specified date in the future that is equivalent in value to a specified sum today.
  2. Investing Basics

    Investment Value Vs. Fair Market Value: How They Differ

    Learn about the differences between an asset's investment value and its fair market value, including why many think fair market value is unrealistic.
  3. Markets

    Book Value: How Reliable Is It For Investors?

    In theory, a low P/B ratio means you have a cushion against poor performance. In practice, it is much less certain.
  4. Investing Basics

    Does Active Value Investing Pay Off?

    Learn about a recently published paper that explores why active value investors underperform.
  5. Fundamental Analysis

    Guide To Excel For Finance: PV And FV Functions

    The Present Value or "PV Function" in Excel helps the user determine the current value of a financial asset. For instance, analysts can value a stock by forecasting its future profits, or cash ...
  6. Investing

    The Difference Between Book and Market Value

    Book value is the price paid for an asset. It never changes as long as the asset is owned. Market value is the current price at which the asset can sell.
  7. Active Trading

    Triple Screen Trading System - Part 5

    Stochastics can be very effective as the second screen in this three-part system. Find out how to use this popular oscillator.
  8. Investing Basics

    Guts, Grit And Grind: What It Takes To Be A Value Investor

    Guts, Grit And Grind: What It Take To Be A Value Investor.
  9. Active Trading

    Value Investing: Common Alternatives To Value Investing

    There are dramatic differences in the ways different types of investors make their investment decisions. In this section, we'll look at some of the most common investment philosophies and ...
  10. Investing

    This Is The Biggest Mistake Value Investors Can Make...

    What separates a successful value investor from the pack? Experience. The world's top value investors will tell you that they all began their careers by buying value stocks too early. With time, ...
RELATED FAQS
  1. How do traders identify key signals from the autoregressive moving average?

    See how traders and technical analysts use autoregressive moving averages to create forecasting models, and learn why this ... Read Answer >>
  2. What is the difference between a company's book value per share and its intrinsic ...

    Book value and intrinsic value are two ways to measure the value of a company.In simple terms, book value is based on the ... Read Answer >>
  3. What is the difference between intrinsic value and current market value?

    Discover the differences between intrinsic and market values, what makes the former difficult to determine and how investor ... Read Answer >>
  4. What is the difference between enterprise value and equity value?

    Valuating a business accurately depends heavily on the purpose of the valuation. Learn how enterprise value and equity value ... Read Answer >>
  5. What is the difference between book value and carrying value

    Dig deeper into the definitions of carrying value and book value, and learn to differentiate between their various financial ... Read Answer >>
  6. What is the difference between carrying value and fair value?

    Learn about the carrying value and fair value of assets and liabilities, what the carrying and fair value measure and the ... Read Answer >>
Hot Definitions
  1. Labor Market

    The labor market refers to the supply and demand for labor, in which employees provide the supply and employers the demand. ...
  2. Demand Curve

    The demand curve is a graphical representation of the relationship between the price of a good or service and the quantity ...
  3. Goldilocks Economy

    An economy that is not so hot that it causes inflation, and not so cold that it causes a recession. This term is used to ...
  4. White Squire

    Very similar to a "white knight", but instead of purchasing a majority interest, the squire purchases a lesser interest in ...
  5. MACD Technical Indicator

    Moving Average Convergence Divergence (or MACD) is a trend-following momentum indicator that shows the relationship between ...
  6. Over-The-Counter - OTC

    Over-The-Counter (or OTC) is a security traded in some context other than on a formal exchange such as the NYSE, TSX, AMEX, ...
Trading Center