Essays about: "ARCH-LM"

Found 2 essays containing the word ARCH-LM.

  1. 1. Safe Haven Assets During the COVID-19 Pandemic : a study of safe haven aspects of gold and Bitcoin in U.S. financial markets

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Erik Melin; Albert Pettersson; [2022]
    Keywords : TGARCH; GARCH; ARCH-LM; COVID-19; Gold; Bitcoin; Safe Haven; Hedge; Diversifier;

    Abstract : This paper explores the possibility of gold and Bitcoin acting as safe haven investments during the Corona pandemic. To answer the research question the authors use OLS-, GARCH-, and TGARCH-models. The S&P 500 stock- and S&P U.S. READ MORE

  3. 2. MODELLING AND FORECASTING INFLATION RATES IN GHANA: AN APPLICATION OF SARIMA MODELS

    University essay from Statistik

    Author : ERIC AIDOO; [2010]
    Keywords : Ghana Inflation; Forecasting; Box-Jenkins Approach; SARIMA model; Unit Root test; ARCH–LM test; ADF test; HEGY test; Ljung-Box test;

    Abstract : Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. READ MORE