What are the downsides of ARIMA models? I recently worked with ARIMA models and realized how common they are in economics and other sciences.
You can find dozens of articles on the Internet that use ARIMA models, but you can find relatively little about the disadvantages of ARIMA models.
What are the main weaknesses of ARIMA models, both methodologically and statistically?
Does anyone have good scientific articles that deal with this topic?

The most of the processes in real applications (including Financial Data) are not pure ARIMA Processes or they are not all. That is why using this model in forecasting of those series lead to poor results.
Furthermore, this model has some important limitations:

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*It can capture only linear dependencies with the past.

*It forecast the average value of the series.

*It assumes the error to be Independent and Identically Normally Distributed.

*It is an univariate model, namely it cannot take advantage from exogenous variables.

*It rely on strong assumption, such as stationary, invertibility, independence of residuale, and so on...

