Autoregressive time series model

Part 1 of ebook "Essentials of time series for financial applications" provides readers with contents including: Chapter 1 - Linear regression model; Chapter 2 - Autoregressive moving average (ARMA) models and their practical applications; Chapter 3 - Vector autoregressive moving average (VARMA) models; Chapter 4 - Unit roots and cointegration; Chapter 5 - Single-factor conditionally heteroskedastic models, ARCH and GARCH;...

244p daonhiennhien 03-07-2024 3 1   Download

This paper investigates the impact of the pandemic on the Vietnamese stock market (VNX). Historically, pandemics have often caused major disruptions to the economies of many countries, and stock markets are quick to reflect these impacts. The pandemic has created major challenges for the VNX, even though Vietnam has successfully controlled the pandemic. This paper uses the Vector Autoregression (VAR) method to quantify the impact of on the VNX. The VAR model is used to analyze the dynamic interactions between time series variables.

12p leminhvu111 07-06-2024 1 0   Download

This study compares the accuracy of two popular time series forecasting models, namely the autoregressive integrated moving average (ARIMA) model and the long short-term memory (LSTM) model, in predicting daily gold prices from 2000 to 2023. The ARIMA model is a traditional approach that relies on past values to forecast future values, while the LSTM model is a deep learning technique that captures long-term dependencies in time series data.

16p dathienlang1012 03-05-2024 0 0   Download

This study investigates the causality among export, foreign direct investment (FDI) inflows and economic growth in Vietnam using quarterly time-series data from 2000Q1 to 2017Q4. The vector autoregression (VAR) model is employed to explore the relationship among variables in the long term as well as the short term.

10p viwolverine 11-07-2023 7 3   Download

The widespread adoption of electronic health records allows us to ask evidence-based questions about the need for and benefits of specific clinical interventions in critical-care settings across large populations.

8p visteverogers 24-06-2023 6 2   Download

The study "Agriculture led economic growth: The case of Pakistan" aims to quantify the impact of agricultural growth on the overall economy of Pakistan. Time series analysis techniques are suitable to achieve such objectives. Time series has seen a lot of development during the recent decades. e development of concepts like that of stationarity and the tests to check it have cast doubts over the reliability of results reported by earlier studies.

7p tieuduongchi 24-10-2022 7 3   Download

The study examines the asymmetric effect of oil price on the exchange rate and stock price using the nonlinear autoregressive distributive lag (NARDL) technique on the time-series data spanning from January 1996 to September 2020. The multivariate cointegration test showed evidence of a longrun relationship among the stock price, exchange rate, and oil price. The linear Granger causality test showed that stock price is granger caused by oil price and exchange rate, and oil price is granger cause by stock price and exchange rate.

7p mynguyenha 21-07-2021 6 2   Download

This study compares the price predictions of the Vanguard real estate exchangetraded fund (ETF) (VNQ) using the back propagation neural network (BPNN) and autoregressive integrated moving average (ARIMA) models. The input variables for BPNN include the past 3-day closing prices, daily trading volume, MA5, MA20, the S&P 500 index, the United States (US) dollar index, volatility index, 5-year treasury yields, and 10-year treasury yields. In addition, variable reduction is based on multiple linear regression (MLR).

16p mynguyenha 21-07-2021 18 1   Download

This paper aims to examine the effect of crude oil price volatility, the internet, and inflation on economic growth in ASEAN-5 countries (Indonesia, Malaysia, the Philippines, Singapore, and Thailand). To test this effect, we use the panel Autoregressive Distributed Lag model and panel data with annual time series for the period from 1995 to 2018. The test results show that only the internet affects economic growth in the long run, and this effect is positive.

7p nguaconbaynhay10 22-02-2021 23 4   Download

The current study examined the determinants of electricity consumption and also intends to forecast the electricity consumption in Pakistan. The study has used time series data analysis, applied Johansen Cointegration Test, error correction mechanisms and regression for examining determinants and autoregressive integrated moving average model is used for forecasting. The study has used times series secondary annual data on different variables for the period ranging from 1970 to 2018.

8p nguaconbaynhay10 22-02-2021 17 2   Download

This research sets the propositions as how factors like innovation, resource development and the imports of energy can help ensure renewable energy consumption in Indonesia for the period of 1995-2019. The independent variables for research are innovation, research and development, and energy import. The dependent variable is renewable energy consumption and the control variables are population growth and energy consumption.

7p nguaconbaynhay10 22-02-2021 23 1   Download

Time-course gene expression data such as yeast cell cycle data may be periodically expressed. To cluster such data, currently used Fourier series approximations of periodic gene expressions have been found not to be sufficiently adequate to model the complexity of the time-course data, partly due to their ignoring the dependence between the expression measurements over time and the correlation among gene expression profiles.

14p viwyoming2711 16-12-2020 8 0   Download

The objective of this study sought to establish the link among carbon emission, carbon tax, energy use and population. The objective was achieved using the autoregressive distributive lag model (ARDL) since it gives accurate parameters.

8p kethamoi7 15-08-2020 19 1   Download

In this study, we analyzed the Environmental Kuznets Curve (EKC) hypothesis in the context of Bahrain in the presence of financial development. For this purpose, this study developed the quadratic model where carbon emission depends on economic growth (GDP), a square of economic growth (GDP2 ) and supporting variables are energy consumption, financial growth and trade Liberalization. For this purpose, using the annual time series data of Bahrain from 1980 to 2018 taken from the World Bank database. The Autoregressive distributive lag (ARDL) approach has been used.

8p kethamoi7 15-08-2020 24 2   Download

(BQ) The following will be discussed in this part: Random regressors and moment based estimation, simultaneous equations models, regression with time-series data: nonstationary variables, vector error correction and vector autoregressive models, time-varying volatility and ARCH models, panel data models, qualitative and limited dependent variable models, review of math essentials.

293p nanhankhuoctai5 01-06-2020 11 3   Download

The study uses data over the period of 2008–2018 and applies the vector autoregression model, namely recursive restriction and sign restriction approaches.

18p nguathienthan5 03-06-2020 22 2   Download

This study aims at investigating the impact of globalization on CO2 emission in Vietnam. Empirical analysis is performed by employing autoregressed distributed lag approach on time series data for the period of 1990 to 2016.

14p tohitohi 22-05-2020 17 1   Download

There are several linear time-series forecasting models available in literature. One of the important and widely used technique for analysis of univariate time-series data is Box Jenkins’ Autoregressive integrated moving average (ARIMA) methodology (Box et al., 2007). Sometimes addition of the other exogenous variables increases the prediction accuracy of ARIMA model (ARIMAX). For this aspect we applied different p and q order ARIMAX model for five nutrient combinations of nitrogen content which is further developed by including organic carbons an input (exogenous) variable.

9p nguaconbaynhay5 16-05-2020 23 0   Download

This model is fitted to time series data both to better understand the data and to forecast future points in the series. Hereby, the methodology is selected by Vietnam's best-fit model ARIMA (2,3,1) and China's best-fit model ARIMA (2,3,5).

10p tozontozon 25-04-2020 6 2   Download

The study covered the period 2008-2018 and quarterly time series data was analysed using correlation analysis and the Autoregressive Distributed Lag Model. The study findings document a significant positive effect of diaspora remittances on stock market development in the short run as evidenced by the negative and significant coefficient of the Error Correction Term (ECT). Equally, diaspora remittances had a significant positive effect on stock market development in the long run.

8p tociitocii 24-04-2020 14 1   Download