Example: Commercial bank deposits (6-month ahead)

H.8 deposits, univariate ARIMA six-month-ahead

This model estimates commercial-bank deposits six months ahead with a univariate ARIMA on the H.8 series. Macro prints (the funds rate, the 10y–FF gap, unemployment, and equities) are not used.

Our ARIMA model is

DEP_estimated(t) = ARIMA(1,1,1) with drift six-month-ahead from y through t−6m
and yields R^2 = 99.2% as of December 2023 (n = 227 months) in-sample on paired actuals through 2023Q4.
On later paired actuals the same frozen coefficients yield R^2 = 92.0% as of August 2026 (n = 32 months) out of sample.

The model is a univariate ARIMA fit on the target series from 2004 through 2023Q4. Each print is a six-month-ahead forecast from y through t minus that horizon, using those frozen coefficients. On the leftover paired actuals that frozen fit beats predicting the holdout mean. The first R² above is in-sample through 2023Q4 on the same six-month-ahead rule; the second is out-of-sample on later paired actuals.