Forecasting Time Series

Bootstrap Forecast Intervals

Preamble

library("forecast")

Hedge Fund Index

CISDM Equal Weighted Hedge Fund Index NAV, Monthly, 1990 - Present

# Remove earlier time points
data <- read.csv("http://ptrckprry.com/course/forecasting/data/hedge.csv")
data$date <- as.Date(data$date)
data <- subset(data, date >= "1990-01-01")

# Extract returns
hedge <- data$return
n <- length(hedge)
time <- 1:n
plot(time, hedge, type="l", col=2)

ACF, PACF

Original Series

par(mfrow=c(1,2))
Acf(hedge)
Pacf(hedge)

First Difference

par(mfrow=c(1,2))
Acf(diff(hedge))
Pacf(diff(hedge))