Essays about: "ARMA"

Showing result 1 - 5 of 43 essays containing the word ARMA.

  1. 1. Short-term forecasting Swedish annual real GDP growth using SARIMA models : A study in forecasting current year Swedish annual real GDP growth using SARIMA models with the Box-Jenkins methodology as a general framework

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Mark Becker; [2023]
    Keywords : SARIMA; ARIMA; ARMA; Box-Jenkins; Real GDP; MAE;

    Abstract : Simulated current year annual real GDP growth forecasts for 2015-2021 are made using a chosen SARIMA model, with the Box-Jenkins methodology as a general modelling framework. The forecasts are compared to the actual outcomes and the Absolute Errors (AE) and the Mean Absolute Errors (MAE) are calculated for each year. READ MORE

  2. 2. Forecasting gold returns using principal component analysis from a large number of predictors

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Allgén; [2022]
    Keywords : Forecasting; Gold; Principal Component Analysis; ARMA; Business and Economics;

    Abstract : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. READ MORE

  3. 3. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Wilfer; Philip Wikström; [2021]
    Keywords : ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

    Abstract : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. READ MORE

  4. 4. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan

    University essay from Stockholms universitet/Statistiska institutionen

    Author : Edvin Wallin; Timothy Chapman; [2021]
    Keywords : Heteroscedasticity; GARCH 1; 1 ; ARMA p; q ; Skewed student s t-distribution; Regression; Fama and French Five-factor model;

    Abstract : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. READ MORE

  5. 5. Forecasting Call Option prices : A Quantitative Study in Financial Economics

    University essay from Umeå universitet/Nationalekonomi

    Author : Roger Lundmark; [2020]
    Keywords : ;

    Abstract : It is not uncommon that the theoretical price of a model is different from the market price due to various disturbances. The purpose of this study was to analyze how well the original Black-Scholes-Merton model performs accurate forecasts of the option price, where the underlying asset was the NIFTY50 stock index. READ MORE