Return to search

Time Series Forecasting Model for Chinese Future Marketing Price of Copper and Aluminum

This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationships among the series can improve the accuracy of time series forecasting.

Identiferoai:union.ndltd.org:GEORGIA/oai:digitalarchive.gsu.edu:math_theses-1059
Date18 November 2008
CreatorsHu, Zhejin
PublisherDigital Archive @ GSU
Source SetsGeorgia State University
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceMathematics Theses

Page generated in 0.0016 seconds