A time series is a sequence of data points ordered over time. In time series analysis, time is often the independent variable, and the primary goal is to make future forecasts. Time series data finds ...

Policy makers need accurate forecasts about future values of exchange rates. This is due to the fact that exchange rate volatility is a useful measure of uncertainty about the economic environment of ...

This project performs a basic multivariate GARCH modelling exercise in Python. Such approaches are available in other environments such as R, but there is yet to exist a tractable framework for ...

1 Department of Statistics, University of Karachi, Karachi, Pakistan. 2 Actuarial Science and Risk Management, University of Karachi, Karachi, Pakistan. The aim of this paper is to use the General ...

Journal of Applied Econometrics, Vol. 14, No. 5 (Sep. - Oct., 1999), pp. 539-562 (24 pages) In this paper we investigate the properties of the Lagrange Multiplier [LM] test for autoregressive ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...