Multivariate Financial Forecasting using the Chronos Time Series Foundation Models
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 imp...
| Authors | Sanjiv R Das, Tarang Goyal, Mohini Yadav |
|---|---|
| Primary category | q-fin.ST |
| Published | 8 May 2026 |
| Last updated at source | 8 May 2026 |
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