The automobile industry has been largely affected since the outbreak of Russo-Ukrainian War, which is reflected by crude oil price. In order to see long-term effect price fluctuation on auto industry, this paper analyzes changes in and rates return new power specific. This research builds a VAR model an ARMA-GARCH analyze relationship between stock from June 2021 July 2022. Finally, finds that ...

Related commodity markets have two characteristics: (i) they may be expected to follow similar volatility processes; (ii) such markets are frequently represented by a market aggregate or index. Indices are used to represent the performance and aggregate time series properties of a group of markets. An important issue regarding the time series properties of an index is how the index reflects the...

إ ةيرهجملا جماربلا لمشي اذهو ،ةيرورملا ةآرحلا ةاآاحم جمارب روطت يف مهاس ةيتامولعملا ايجولونكتلا يف ريبكلا مدقتلا ن ) Microscopic ( ، نلا ىلع بلطلا ةاآاحم اًضيأ لمشي نايحلأا ضعب يفو ، تاعطاقتو قرط نم اهيف امب لقنلا ةموظنم ةاآاحمب حمسيل يللآا بساحلا تاقيبطت قاطنو لق . ةيرهجملا ةيرورملا ةآرحلا ةاآاحم جمارب نيب نراقتو عجارت ةقرولا هذهو ) Microscopic ( ةيلومشلاو ) Macroscopic ( فلاتخلاا هجوأ ىلع ةزآر...

This paper addresses the problem of fitting a known distribution to the innovation distribution in a class of stationary and ergodic time series models. The asymptotic null distribution of the usual Kolmogorov–Smirnov test based on the residuals generally depends on the underlying model parameters and the error distribution. To overcome the dependence on the underlying model parameters, we prop...

We study situations in which autoregressive models are estimated on time series that contain switches in the data generating parameters and these switches are not accounted for. The geometry of this estimation problem causes estimated vector autoregressive models to display a unit eigenvalue, and the sum of the estimated autoregressive parameters of ARMA and GARCH models to be close to one. Thi...

This article investigates whether the Gaussian distribution hypothesis holds 382 U.S. stocks and compares it to the stable Paretian hypothesis. The daily returns are examined in the framework of two probability models – the homoskedastic independent, identical distributed model and the conditional heteroskedastic ARMA-GARCH model. Consistent with other studies, we strongly reject the Gaussian h...

In order to capture the dependency among exchange rates we construct semiparametric multivariate copula models with ARMA-GARCH margins. As multivariate copula models we utilize pair-copula constructions (PCC) such as regular and canonical vines. As building blocks of the PCC’s we use bivariate t-copulas for different tail dependence between pairs of exchange rates. Alternatively we also conside...

Testing for white noise has been well studied in the literature of econometrics and statistics. For most of the proposed test statistics, such as the well-known Box-Pierce’s test statistic with fixed lag truncation number, the asymptotic null distributions are obtained under independent and identically distributed assumptions and may not be valid for the dependent white noise. Due to recent pop...

Financial series occasionally exhibit large changes. To deal with those events, we assume that the observed return series consists of a conditionally Gaussian ARMA-GARCH (or -GJR) model contaminated by an additive jump component. In this framework, we propose a new test for additive jumps. The test is based on standardised returns, where the first two conditional moments of the non-contaminated...

This paper addresses the problem of deriving asymptotic distribution empirical function Fˆn residuals in a general class time series models, including conditional mean and heteroscedaticity, whose independent identically distributed errors have unknown F. We show that, for large models (including standard ARMA-GARCH with symmetric innovations), n{Fˆ n(·)?F(·)} is impacted by estimation but does...