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An ARIMA time series forecasting model to forecast the LIBOR rate during the COVID pandemic. For experimental and learning purposes the Feds Funds rate was forecasted using ARIMA and the LIBOR forecast was calculated using the FFR forecast through KNN (which surprisingly gave good results). But that's mainly because FFR fluctuations are very clo…

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FFR_aug.csv

FFR_aug.csv

 
 

GDP.csv

GDP.csv

 
 

Libor Forecast.csv

Libor Forecast.csv

 
 

Model Output.csv

Model Output.csv

 
 

README.md

README.md

 
 

SCR Python File.ipynb

SCR Python File.ipynb

 
 

combinedU.csv

combinedU.csv

 
 

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Forecasting Interest Rates with ARMA

Interest-rates-and-their-role-in-financial-markets_MCT---9087_EN_1

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This repository contains code and resources related to forecasting interest rates using the ARMA (AutoRegressive Moving Average) model. The primary reference for this work is the blog post titled "Forecasting Interest Rates with ARMA" published on Medium.

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An ARIMA time series forecasting model to forecast the LIBOR rate during the COVID pandemic. For experimental and learning purposes the Feds Funds rate was forecasted using ARIMA and the LIBOR forecast was calculated using the FFR forecast through KNN (which surprisingly gave good results). But that's mainly because FFR fluctuations are very clo…

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