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Predictive Case Studies: Training by Rolling

In: Time Series Forecasting using Machine Learning

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  • Tsung-wu Ho

    (National Taiwan Normal University)

Abstract

In this chapter, we offer two case studies that are based upon rolling windows: US unemployment rate and Dow Jones Index returns. The former case is a very common macroeconomic variable, containing stochastic trend and seasonality; the latter is characterized by volatility. Rolling windows stack window-specific forecasts, allowing us to evaluate the forecasting performance of different models.

Suggested Citation

  • Tsung-wu Ho, 2025. "Predictive Case Studies: Training by Rolling," Springer Books, in: Time Series Forecasting using Machine Learning, chapter 0, pages 103-128, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-97946-0_5
    DOI: 10.1007/978-3-031-97946-0_5
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