Blar i AURA på forfatter "Thomassen, Ørjan Dovran"
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A comparison of volatility prediction between ARIMA-GARCH and VAR models
Gram, Yngve Aslaksen; Thomassen, Ørjan Dovran (Master thesis, 2015)In this thesis the authors use ARIMA-GARCH and VAR to predict future volatility of 6 macroeconomic variables from the US. The data is monthly and spans the period 1964-2014, where the last 20 years are used as the ...