ARMA Error

Hi all,

I am new in matlab and I am trying to create a simple ARMA(q,p) model which will estimate the best fit parameter automated and then predict the return of the following day. I have a stock daily prices(QQQ) and my code is below.

pr=price2ret(QQQ);
model=armax(pr(1:end-150),[1 2]);
mbest=pem(pr(end-150:end,model);
y = predict(model,pr);
plot(pr(151:end),y(151:end));

If I run this code it will give me a idpoly model(model) and a double 1x1 cell for y variable with an Error

??? Error using ==> plot
Conversion to double from cell is not possible.

I will really appreciate if someone could assist me on this error and give me an insight how can I compile this error! I had tried to use the compare function but it is also give me an error. Does anyone has a better ideas how can I find the best fit parameters for an ARMA model ???

Thanks in advance

Answer 1

[Walter Roberson]

http://www.mathworks.com/help/toolbox/ident/ref/predict.html

The output yp is an iddata object containing the predicted values as OutputData.

Notice it is iddata, not a numeric array.

Perhaps you want to get(yp, 'OutputData') as described at http://www.mathworks.com/help/toolbox/ident/ref/iddata.html

Answer 2

[Karamos]

Thank you for your response. I don't want the get function but to plot the prediction output and compare it with the actual time series. The problem is that the y is '1x1 cell' and not a double variable.

My code is almost identical with the example at http://www.mathworks.co.uk/help/toolbox/ident/ref/predict.html but I am not receiving the same format of the output data.