ARMA calibration in Excel

In this video, we'll demonstrate how to calibrate an ARMA model using NumXL.

Video script

Scene 1:

Welcome to module 7 of getting started series. In this video we'll demonstrate how to calibrate an ARMA model using NumXL. Earlier we specified an ARMA 1:1 model based on our observation of the ACF and PACF plots.

Now lets calibrate the model. Select the cell at the top of the ARMA model, the one that says ARMA 1:1, then click on the calibration icon in the NumXL toolbar.

Scene 2:

The Excel solver pops up on the screen. Note that all the fields are already initialized with our models parameters. Click solve.

Scene 3:

The solver searches for an optimal solution that maximizes the LLF function, or the utility function. Upon success it pops up this dialog box.

Scene 4:

The model is now calibrated, the Excel solver copied the optimal solution values to our table in the worksheet.

Scene 5:

That is it for now, thank you for watching!

Comments

Please sign in to leave a comment.

Was this article helpful?
1 out of 1 found this helpful