In this thesis, we analyze the SEK/USD exchange rate by using the multivari-ate time series models. First we sort out the general workflow. Then we selectthe variables by the Granger causality test and design different combinationsof variables for models. After building VAR models and TVP-VAR modelsfor different variables,the analysis focuses on comparison of the impulse re-sponse function and the variance decomposition. To evaluate the performanceof the models, we split the real data into training data and validation data, andcompare the prediction accuracy using the validation data.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-488535 |
| Date | January 2022 |
| Creators | Hong, Le |
| Publisher | Uppsala universitet, Sannolikhetsteori och kombinatorik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | U.U.D.M. project report ; 2022:40 |
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