Sökning: "ARMA error"

Visar resultat 11 - 14 av 14 uppsatser innehållade orden ARMA error.

  1. 11. ARMA and GARCH models for silver, nickel and copper price returns

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Mats Hansson; Ola Andersson; Olle Holmberg; [2015]
    Nyckelord :ARMA; GARCH; MASE; sMAPE; Heteroscedasticity; Stationarity; Ljung-Box test; McLeod-Li test; Running Standard Deviation; Forecast value.; Mathematics and Statistics;

    Sammanfattning : This thesis compares Auto Regressive Moving Average (ARMA) and Generalized Auto Regressive Conditional Heteroscedacity (GARCH) models for three metal commodities. ARMA models have an unconditionally non-random and constant variance, which typically serves well in effectively representing homoscedastic data. LÄS MER

  3. 12. Automatisk viktning av onlinekorrigering för prognoser

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Erik Rosén; [2013]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : This report aims at finding methods for reducing the errors in district heating load forecasts by suggesting a method for online correction of the base forecast. Online correction is generally carried out by utilizing patterns in the historic prediction errors. LÄS MER

  4. 13. Forecasting Volatility - A Comparison Study of Model Based Forecasts and Implied Volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Armin Näsholm; Bujar Bunjaku; [2010]
    Nyckelord :evaluation models ; realized volatility; implied volatility; ARMA; ARCH-family; Volatility forecast; Business and Economics;

    Sammanfattning : Purpose: The purpose is to investigate which of the selected models that forecasts the out-of-sample data most accurate and whether the model based estimators make better forecasts than the implied volatility. Methodology: Trough in-sample data from a Swedish stock index return series and a exchange rate return series, different forecasting models are evaluated to see which one that predicts the out-of-sample realized volatility most accurate. LÄS MER

  5. 14. Simulation of Short-term Wind Speed Forecast Errors using a Multi-variate ARMA(1,1) Time-series Model

    Master-uppsats, KTH/Elektriska energisystem

    Författare :Andrew Boone; [2005]
    Nyckelord :;

    Sammanfattning : The short-term (1 to 48 hours) predictability of wind power production from wind power plants in a power system is critical to the value of wind power. Advanced wind power prediction tools, based on numerical weather prediction models and designed for power system operators, are being developed and continuously improved. LÄS MER