Autoregressive

AAA

DEFINITION of 'Autoregressive'

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.

INVESTOPEDIA EXPLAINS '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 Conditional Heteroskedasticity ...

    An econometric term used for observed time series. ARCH models ...
  2. Multiple Linear Regression - MLR

    A statistical technique that uses several explanatory variables ...
  3. Technical Analysis

    A method of evaluating securities by analyzing statistics generated ...
  4. Regression

    A statistical measure that attempts to determine the strength ...
  5. Fintech

    Fintech is a portmanteau of financial technology that describes ...
  6. Indicator

    Indicators are statistics used to measure current conditions ...
Related Articles
  1. Personal Finance

    Does Your Investment Manager Measure Up?

    These key stats will reveal whether your advisor is a league leader or a benchwarmer.
  2. Options & Futures

    Bettering Your Portfolio With Alpha And Beta

    Increase your returns by creating the right balance of both these risk measures.
  3. Active Trading

    The Linear Regression Of Time and Price

    This investment strategy can help investors be successful by identifying price trends while eliminating human bias.
  4. Budgeting

    The P/E Ratio: A Good Market-Timing Indicator

    Check out the returns this newer technical analysis tool would've yielded over the period from 1920 to 2003.
  5. Forex Education

    Lessons From A Trader's Diary

    Discover what this trader learned from his mistakes and how to uncover your own.
  6. Stock Analysis

    A Trader's Look at the S&P 500

    Moving averages are sending an important signal, and it's probably not what you think.
  7. Chart Advisor

    Is Now the Time to Invest in North America?

    Bullish chart patterns across the North American markets suggest that now might actually be a wise time to allocate closer to home.
  8. Chart Advisor

    These Oil Service Stocks Are Ready For A Move Higher

    In the oil services sector, active traders have been trying hard to establish a floor and the double bottom pattern that is appearing on the chart suggests that a short-term reversal could be ...
  9. Trading Strategies

    The Top Five Stocks For Novice Swing Traders

    New to Swing Trading? Here are the top five stocks recommended for swing trading.
  10. Chart Advisor

    These ETFs are Breaking Out of Chart Patterns Now

    Three buys and one sell; here are four ETFs breaking out of chart patterns right now.

You May Also Like

Hot Definitions
  1. Income Effect

    In the context of economic theory, the income effect is the change in an individual's or economy's income and how that change ...
  2. Price-To-Sales Ratio - PSR

    A valuation ratio that compares a company’s stock price to its revenues. The price-to-sales ratio is an indicator of the ...
  3. Hurdle Rate

    The minimum rate of return on a project or investment required by a manager or investor. In order to compensate for risk, ...
  4. Market Value

    The price an asset would fetch in the marketplace. Market value is also commonly used to refer to the market capitalization ...
  5. Preference Shares

    Company stock with dividends that are paid to shareholders before common stock dividends are paid out. In the event of a ...
  6. Accrued Interest

    1. A term used to describe an accrual accounting method when interest that is either payable or receivable has been recognized, ...
Trading Center