Publications by Timothy White
VAR, Week 6 Discussion 1
Walmart and Target stocks were chosen for potential use in a VAR model. The assumption in choosing these stocks was that, as competitors, an increase in one’s stock price might be correlated with a decrease in the other’s. Another thought was that an increase in one’s price might translate to an increase in the others as a signal of people�...
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GARCH - Week 5, Discussion 1
Quarterly median home price data was retrieved from FRED for the 1963Q1 through 2021Q4 time frame. In its original form, the data was quoted in nominal dollars. Therefore, the median prices were transformed to be inflation-adjusted to 1/1/2021 USD. A plot of the price-adjusted data is below. The data shows an upward trend in the median price-adju...
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Hyndman, "Forecasting Principles and Practice" - CHAPTER 9
Question 1 Part a Using the ETS function in R, an \(ETS(A,N,N)\) model was constructed with \(\alpha = 0.322\) and \(l_0 = 100,646.6\). Forecasts for the next 4 months are summarized and displayed visually in the table and plot below. ## # A tsibble: 4 x 2 [1M] ## Month .mean ## <mth> <dbl> ## 1 2019 Jan 95187. ## 2 2019 Feb 95187. #...
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Hyndman, "Forecasting Principles and Practice" - CHAPTER 8
Question 1 Part a Using the ETS function in R, an \(ETS(A,N,N)\) model was constructed with \(\alpha = 0.322\) and \(l_0 = 100,646.6\). Forecasts for the next 4 months are summarized and displayed visually in the table and plot below. ## # A tsibble: 4 x 2 [1M] ## Month .mean ## <mth> <dbl> ## 1 2019 Jan 95187. ## 2 2019 Feb 95187. #...
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Neural Nets - Week 7
The University of Michigan’s Consumer Sentiment Index offers a view into the attitudes of the consumer segment of GDP and serves as a signal, among others, of the health of the US economy. Therefore, being able to forecast the index with some level of predictive accuracy would offer some potentially useful insights into the direction of economi...
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