My bad! I forgot to link the repository! (edited main post)

Hi Mr Kelly,

I would like to thank you for the video about "Random Processes in Finance". I did try to reproduce the code you share on that video and I am getting some error, if could see the code I'd really appreciate it.

Thank you.

The code is:

data = temporaldata[FinancialData["EUR/USD",{{2021,5,1},{2021,9,30}}]] ["Part",All,{{2021,5,1},{2021,9,30}}];

eproc = EstimatedProcess[data, ARIMAProcess[40,2,0]]

forecast = timeseriesforecast[eproc,data,{20}]

DateListPlot[{data["Path"], Forecast["Path"]}, Joined -> True, Filling -> Axis, PlotLabel -> "EUR/USD", ImageSize -> 800]

Rohit has given the correct answer, namely that the WL is case sensitive with all inbuilt functions starting with a Capital letter and all concatenated names having each new word begin with a Capital. The problem with the data returned by FinancialData is that it is not regularly spaced and hence cannot be used to estimate the underlying process.:

In[1]:= RegularlySampledQ[FinancialData["EUR/USD",{{2021,5,1},{2021,9,30}}]]
Out[1]= False 

This can be accomplished either by using the TemporalData[data]["Path",All, period] method above, or in two other different ways: either by using

data=TimeSeriesResample[FinancialData["EUR/USD",{{2021,5,1},{2021,9,30}}]]

or

data=TemporalData[FinancialData["EUR/USD",{{2021,5,1},{2021,9,30}}],TemporalRegularity->True] 

Michael