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Part one: Using example series generated yourself, show how to generate a 1st order AR series, a 2nd order AR series a 1st order MA
Part one: Using example series generated yourself, show how to generate a 1st order AR series, a 2nd order AR series a 1st order MA series, a 2nd order MA series and a seasonal series. In each case; explain how the series was constructed, show ACF and PACF plots of your series, comment briefly on what aspects of the ACF and PACF plots indicate the order and AR/MA nature of the series, model your series with appropriate ARIMA models, comment briefly on the forecasts and the relevant parts of the ARIMA output (parameter P values, residuals etc.) Part two: Collect daily values for the FTSE and the Dow Jones over the course of 2020 (up to the end of June). Plot each of them individually, model each of them with an appropriate ARIMA model, commenting on the results as in part one. Cross correlate the two series and present the cross-correlation plot. Assess both series for volatility and comment briefly on your results. Which would make the better investment? 10:16 Part one: Using example series generated yourself, show how to generate a 1st order AR series, a 2nd order AR series a 1st order MA series, a 2nd order MA series and a seasonal series. In each case; explain how the series was constructed, show ACF and PACF plots of your series, comment briefly on what aspects of the ACF and PACF plots indicate the order and AR/MA nature of the series, model your series with appropriate ARIMA models, comment briefly on the forecasts and the relevant parts of the ARIMA output (parameter P values, residuals etc.) Part two: Collect daily values for the FTSE and the Dow Jones over the course of 2020 (up to the end of June). Plot each of them individually, model each of them with an appropriate ARIMA model, commenting on the results as in part one. Cross correlate the two series and present the cross-correlation plot. Assess both series for volatility and comment briefly on your results. Which would make the better investment? 10:16
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