Time Series Analysis (ARIMA model)
Python scripts are used to analyze and forecast the stock prices of TESCO (TSCO. L) using Autoregressive Integrated Moving Average (ARIMA) model, which is an integral part of technical analysis of stock.
Main steps are as follows: 1) Download TESCO stock prices from Yahoo Finance. 2) Check for randomness in lag plot.
3) Test stationarity (Augmented Dickey-Fuller Test) and carry out data transformation by differencing. 4) Interpret lag orders from Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF) plots.
5) Split the data into training and testing data. 6) Search for the optimal parameters for the ARIMA model. 7) Fit the model with the training data.
8) Forecast the stock prices with a 95% confidence interval. 9) Model evaluation by Root Mean Squared Error (RMSE) and Mean Absolute Percentage Error (MAPE).
#Python #Jupyter Notebook #Time Series Analysis