Sökning: "ARMA"

Visar resultat 1 - 5 av 72 uppsatser innehållade ordet ARMA.

1. 1. Predicting Electricity Consumption with ARIMA and Recurrent Neural Networks

   Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Klara Enerud; [2024]
   Nyckelord :time series forecasting; ARIMA; recurrent neural networks; LSTM; electricity forecasting; EED forecasting;

   Sammanfattning : Due to the growing share of renewable energy in countries' power systems, the need for precise forecasting of electricity consumption will increase. This paper considers two different approaches to time series forecasting, autoregressive moving average (ARMA) models and recurrent neural networks (RNNs). LÄS MER

3. 2. Forecasting Volatility of Electricity Intraday Log Returns with Generalized Autoregressive Score Models

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Gustav Veres; Philip Ahlfridh; [2023-06-29]
   Nyckelord :;

   Sammanfattning : We forecast volatility of electricity intraday log returns with Generalized Autoregressive Score (GAS) models. We extend our GAS models with variables representing the difference between the public’s expectation of weather and energy load and the actual outcome using a restricted ARMA(4,4) model. LÄS MER

4. 3. On modelling OMXS30 stocks - comparison between ARMA models and neural networks

   Master-uppsats, Uppsala universitet/Matematiska institutionen

   Författare :Irina Zarankina; [2023]
   Nyckelord :ARMA; ARIMA; LSTM; time series; statistics;

   Sammanfattning : This thesis compares the results of the performance of the statistical Autoregressive integrated moving average (ARIMA) model and the neural network Long short-term model (LSTM) on a data set, which represents a market index. Both models are used to predict monthly, daily, and minute close prices of the OMX Stockholm 30 Index. LÄS MER

5. 4. Exchange Rate and Equity Market Dependence under Shifts in Volatility Expectations

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Vilhelm Samuelsson; [2023]
   Nyckelord :Exchange rates; Equity markets; Volatility; ARMA-GARCH; Copula; Exchange rate determination; Safe-haven; Portfolio rebalancing; Return chasing; Mathematics and Statistics;

   Sammanfattning : Exchange rate movements have important implications for both policy makers and investors, as they can have large effects on the real economy and the return on investments. Lately, their relation to capital flows have attracted growing interest due to the failure of macroeconomic fundamentals to explain them. LÄS MER

7. 5. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

   Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Sebastian Mortimore; William Sturehed; [2023]
   Nyckelord :GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

   Sammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER