Microsoft Finance Time Series Forecasting Framework (FinnTS) is a forecasting package that utilizes cutting-edge time series forecasting and parallelization on the cloud to produce accurate forecasts for financial data.
need to adjust back testing process when running a yearly forecasts. Currently a year is the minimum smallest amount of training data when doing model refitting, which works for quarterly down to daily forecasts. But for yearly it should be something like 3-5 years. Or have an automated process that turns ensembles off if the user doesn't have more than "x" amount of historical years of data.
need to adjust back testing process when running a yearly forecasts. Currently a year is the minimum smallest amount of training data when doing model refitting, which works for quarterly down to daily forecasts. But for yearly it should be something like 3-5 years. Or have an automated process that turns ensembles off if the user doesn't have more than "x" amount of historical years of data.