The paper proposes that a useful concept of I(0) is deÞned by requiring the time series to satisfy a functional central limit theorem, and considers sufficient conditions for this property to hold in a variety of time series models. First, a new result is given for semiparametric linear processes, whose conditions are shown to be close to necessary. Second, a range of popular nonlinear models i...

This study conducted a time series analysis of the Dow Jones Industrial Average’s response to Russia Ukraine conflict through change in crude oil continuous contract price. The relevant data was derived from 1st November 2021 29th April 2022. inputs were employed vector autoregressive model (VAR), moving average models (ARMAX), and ARMA-GARCH quantitatively characterize dynamic relationship bet...

The exchange rate risk caused by the two-way fluctuation of RMB will bring many effects. volatility foreign market is most common feature financial market. Therefore, research on great significance in economic and aspects. Through statistical analysis data, an ARMA model was established to eliminate auto-correlation sequence, GARCH family combined fit data. Comparing different distribution hypo...

Finansal varlıkların risklerinin zamanla değiştiği bilinmektedir. Riskler, iyi haber veya kötü haberlere bağlı olarak daha fazla artmakta azalmaktadır. Riski azaltmanın bir yolu da portföy oluşturmaktır. Bu çalışmada, riski azaltıp azaltmadığını ölçmek için Altın, Bist 100 endeksi ve Dolar’dan oluşan oluşturulmuştur. üzerinde asimetrik GARCH modeller kullanarak Dolar serileri koşullu RMD değerl...

This paper reviews relatively new developed techniques for machine health prognostics system. The prognostics assessment of machines is an important consideration for determining the remaining useful life (RUL) of machine components and prediction of future state of machines. The developed system has employed several approaches of machine health prognostics strategy such as data-driven, physica...

This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theo...

Fluctuations in food prices can trigger vulnerability, disrupting people's access to food. This study aims predict the of strategic commodities: rice, corn, shallots, garlic, cayenne pepper, large chilies, chicken meat, eggs, beef, cooking oil, and granulated sugar at wholesaler level district. Poor. The research method used is ARMA-GARCH forecasting method. Price carried out on all commodities...

Constructing the models that can generate possible economic scenarios of the returns on major asset classes is essential for solvency assessment. The key issues in establishing a comprehensive ESG models include: how to deal with the large number of risk factors, how to model the dynamics of some chosen factors, and how to incorporate the relations among risk factors. We propose the orthogonal ...

اهتفاقثو اهرخفو ةملأا ةيأ ةيوه نم أزجتي لا اءزج يرامعملا ثارتلا لكشي . ةيخيراتلا ةرامعلا رصانع نا يف اهؤانبو اهميمصت مت دق ةيملاسلإا تابلطتمل يويحو لاعف لكشب ةباجتسلاا ىلع ةرداق نوكت ثيحب يضاملا ةينيدلاو ةيسفنلاو ةيعامتجلااو ةيئيبلاو ةيداملا سانلا . رضاحلا تقولا يف نويرامعملا نوسدنهملا موقي رصانعلا ذخأب اوذخأي ام ةداعو ميمصتلا عيراشم يف اهلاخدا و ةيملاسلإا ةيخيراتلا ينابملا نم ةفلتخملا نيوكت ر...