Though the various models proposed in the literature for capturing the long-range dependent nature of network traac are all either exactly or asymptotically second order self-similar, their eeect on network performance can be very diierent. We are thus motivated to characterize the limiting distributions of these models so that they lead to parsimonious modeling and a better understanding of ne...

There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the ...

The objective of the study was to forecast value oil and gas exports in Indonesia using ARIMA Box-Jenkins. With this prediction, it is hoped that can be a for future policy making. This export data obtained from Indonesian Central Bureau Statistics (BPS) website, raw January 2010 March 2022. predicted method with help R software. stages analysis include: stationary test, build model indication,...

investing in stock markets usually is involved in more risks than the bounds and bank deposits. it is expected that resulting returns (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. sum squares of weekly ...

The demostration will center on the application of program TSW to a large set of monthly time series. TSW is a Windows interface of updated versions of programs TRAMO (Time series Regression with Arima noise, Missing values, and Outliers) and SEATS (Signal Extraction in ARIMA Time Series). The program estimates a general regression-ARIMA model, and computes forecasts and interpolators for possi...

An in-depth look at the Auto_ARIMA function and its constituents with an application to financial data. Visual Numerics, Inc., makes no warranty of any kind with regard to this material, included, but not limited to, the implied warranties of merchantability and fitness for a particular purpose. Visual Numerics, Inc., shall not be liable for errors contained herein or for incidental, consequent...

This paper attempts to compare the forecasting performance of the ARIMA model and hybrid ARMA-GARCH Models by using daily data of the Iran’s exchange rate against the U.S. Dollar (IRR/USD) for the period of 20 March 2014 to 20 June 2015. The period of 20 March 2014 to 19 April 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...