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Time series analysis on EURUSD

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Time series analysis on EURUSD

  1. 1. TezerYelkenci
  2. 2. UnitRootTestResults According to the results of ADF, PP, KPSS tests the raw EURUSD data non-stationary; therefore, during the procedure the first difference of the data is used. Variable ADF Decision EURUSD -0.474915 [2] -1.695586 [0] -3.174737** [0] -- ∆EURUSD -12.96131* [0] -12.93930* [1] -12.91708* [0] I(1) Variable Phillips-Perron Decision EURUSD -0.485265 (1) -1.650403 (3) -3.274618** (4) -- ∆EURUSD -12.96119* (1) -12.93925* (1) -12.91698* (1) I(1) Variable KPSS Decision EURUSD 0.993545 (10) 0.124532 (9) -- ∆EURUSD 0.068598* 0.033421* I(1) -.03 -.02 -.01 .00 .01 .02 .03 M4 M5 M6 M7 M8 M9 M10 M11 2011 EURUSD
  3. 3. PickingTheBestModel(ARMA) ARMA 0 1 2 3 4 5 1 -6.799449 -6.760179 -6.783499 -6.797624 -6.738719 -6.773698 -6.784749 -6.706209 -6.752848 -6.779530 -6.681355 -6.739653 -6.768672 -6.650862 -6.720821 -6.757254 -6.619809 -6.701427 (AIC) (SCZ) (HQ) 2 -6.779919 -6.720757 -6.755888 -6.780264 -6.701382 -6.748222 -6.811479 -6.712876 -6.771427 -6.802276 -6.683953 -6.754214 -6.790742 -6.652699 -6.734669 -6.870619 -6.772855 -6.806536 (AIC) (SCZ) (HQ) 3 -6.779181 -6.699953 -6.746997 -6.771890 -6.672856 -6.731661 -6.774518 -6.655678 -6.726243 -6.823439 -6.684791 -6.767118 -6.793509 -6.635055 -6.729143 -6.783048 -6.604787 -6.710636 (AIC) (SCZ) (HQ) 4 -6.763445 -6.663975 -6.723036 -6.755360 -6.635996 -6.706870 -6.754067 -6.614809 -6.697495 -6.786851 -6.627699 -6.722198 -6.779574 -6.600529 -6.706840 -6.792514 -6.593575 -6.711698 (AIC) (SCZ) (HQ) 5 -6.747668 -6.627776 -6.698962 -6.735756 -6.595882 -6.678932 -6.765623 -6.605768 -6.700682 -6. -6. -6. -6.783184 -6.583364 -6.702007 -6.750394 -6.530592 -6.661099 (AIC) (SCZ) (HQ)
  4. 4. CorrelogramofResiduals:ARIMA(2,1,5)
  5. 5. ResidualGraph:ARIMA(2,1,5) -.02 -.01 .00 .01 .02 .03 M4 M5 M6 M7 M8 M9 M10 M11 2011 EURUSD Residuals
  6. 6. ImpulseResponseGraph:ARIMA(2,1,5) -.010 -.005 .000 .005 .010 2 4 6 8 10 12 14 16 18 20 22 24 Impulse Response ± 2 S.E. -.005 .000 .005 .010 2 4 6 8 10 12 14 16 18 20 22 24 Accumulated Response ± 2 S.E.
  7. 7. ForecastPerformance:ARIMA(2,1,5) -.020 -.015 -.010 -.005 .000 .005 .010 .015 .020 20 21 24 25 26 27 28 31 1 2 3 4 7 8 2011m10 2011m11 EURUSDF ± 2 S.E. Forecast: EURUSDF Actual: EURUSD Forecast sample: 10/20/2011 11/08/... Included observations: 14 Root Mean Squared Error 0.009900 Mean Absolute Error 0.007054 Mean Abs. Percent Error 95.99364 Theil InequalityCoefficient 0.952057 Bias Proportion 0.007108 Variance Proportion 0.859294 Covariance Proportion 0.133598
  8. 8. ForecastGraph:ARIMA(2,1,5) -.03 -.02 -.01 .00 .01 .02 .03 M4 M5 M6 M7 M8 M9 M10 M11 2011 EURUSDF EURUSD
  9. 9. CorrelogramofResiduals:ARIMA(2,1,5)
  10. 10. CorrelogramofResidualsSquared
  11. 11. HeteroskedasticityTest:ARCH
  12. 12. HeteroskedasticityTest:ARCH ARMA 0 1 2 3 4 5 1 0.000227 0.057728 0.059850 0.073537 0.143473 0.131596 2 0.004877 0.046147 0.013630 0.043352 0.058796 0.297759 3 0.000203 0.030371 0.134883 0.058240 0.194562 0.256898 4 0.010918 0.055488 0.078632 0.157345 0.039028 0.018601 5 0.025677 0.043652 0.163624 0.003103 0.003103 0.073551
  13. 13. ForecastPerformance:ARCH -.02 -.01 .00 .01 .02 .03 6 10 12 14 18 20 24 26 28 1 3 7 2011m10 2011m11 EURUSDF ± 2 S.E. Forecast: EURUSDF Actual: EURUSD Forecast sample: 10/05/2011 11/08/... Included observations: 25 Root Mean Squared Error 0.008686 Mean Absolute Error 0.006235 Mean Abs. Percent Error 116.6479 Theil Inequality Coefficient 0.817044 Bias Proportion 0.000001 Variance Proportion 0.817924 Covariance Proportion 0.182075 .0000576 .0000580 .0000584 .0000588 .0000592 .0000596 .0000600 6 10 12 14 18 20 24 26 28 1 3 7 2011m10 2011m11 Forecast of Variance
  14. 14. ForecastValues:ARCH -.03 -.02 -.01 .00 .01 .02 .03 M4 M5 M6 M7 M8 M9 M10 M11 2011 EURUSDF EURUSD
  15. 15. ForecastPerformance:GARCH -.02 -.01 .00 .01 .02 .03 6 10 12 14 18 20 24 26 28 1 3 7 2011m10 2011m11 EURUSDF ± 2 S.E. Forecast: EURUSDF Actual: EURUSD Forecastsample:10/05/2011 11/08/... Included observations: 25 Root Mean Squared Error 0.008714 Mean Absolute Error 0.006254 Mean Abs. Percent Error 112.5213 Theil InequalityCoefficient 0.825368 Bias Proportion 0.000094 Variance Proportion 0.818755 Covariance Proportion 0.181152 6.229660E-05 6.229664E-05 6.229668E-05 6.229672E-05 6.229676E-05 6 10 12 14 18 20 24 26 28 1 3 7 2011m10 2011m11 Forecast of Variance
  16. 16. ForecastValues:GARCH -.03 -.02 -.01 .00 .01 .02 .03 M4 M5 M6 M7 M8 M9 M10 M11 2011 EURUSDF EURUSD

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