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Multivariate Financial Forecasting using the Chronos Time Series Foundation Models

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  • Sanjiv R Das
  • Tarang Goyal
  • Mohini Yadav

Abstract

Using Chronos-2, an open-source time-series foundation model, we evaluate pretrained time-series models for economic and financial forecasting with an emphasis on whether multivariate (MV) inputs improve accuracy relative to univariate (UV) baselines. The study covers two panels -- the Magnificent-7 equities and U.S. Treasury interest rates -- as well as a combined panel, using rolling monthly evaluations from 2000--2025. We vary input window lengths and forecast horizons and report RMSE and MAPE. Across datasets, MV forecasts consistently outperform UV forecasts, with especially strong gains for interest rates and meaningful improvements for equities. Series-level comparisons show MV improvements in every case, and error dispersion is generally lower under MV inputs. We also provide parameter-heatmap and time-series visualizations. However, mixing time series across equity and interest rate markets reduces forecast accuracy, indicating that adding noisy context degrades model performance. Overall, the results indicate that foundation models can leverage cross-series information to improve forecast accuracy in finance, and that the benefits are strongest when related series are modeled jointly under disciplined rolling protocols. Other than using an open-source foundation model, this paper also showcases how AI may be used for financial research.

Suggested Citation

  • Sanjiv R Das & Tarang Goyal & Mohini Yadav, 2026. "Multivariate Financial Forecasting using the Chronos Time Series Foundation Models," Papers 2605.21504, arXiv.org.
  • Handle: RePEc:arx:papers:2605.21504
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    References listed on IDEAS

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    2. Yao, Dingjun & Yan, Kai, 2024. "Time series forecasting of stock market indices based on DLWR-LSTM model," Finance Research Letters, Elsevier, vol. 68(C).
    3. Makridakis, Spyros & Spiliotis, Evangelos & Assimakopoulos, Vassilios, 2020. "The M4 Competition: 100,000 time series and 61 forecasting methods," International Journal of Forecasting, Elsevier, vol. 36(1), pages 54-74.
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