Econ 4120
Applied Forecasting Methods
L14A: Examples
Sung Y. Park
CUHK
Applications: Exchange rate
5.2
5.0
4.8
4.6
4.4
Yen/USD
5.4
5.6
Exchange rate (Yen/USD)
0
50
100
150
Time
200
250
Applications: Exchange rate
0.00
−0.05
−0.10
Yen/USD
0.05
Exchange rate (Yen/USD) (growth)
0
50
100
150
Time
200
250
Applications: Exchange rate
0.8
0.6
0.4
DEM/USD
1.0
1.2
Exchange rate (DEM/USD)
0
50
100
150
Time
200
250
Applications: Exchange rate
0.00
−0.05
−0.10
DEM/USD
0.05
Exchange rate (DEM/USD) (growth)
0
50
100
150
Time
200
250
Applications: Exchange rate
pacf of ln.yen
0.4
Partial ACF
0.0
0.4
0.0
ACF
0.8
0.8
acf of ln.yen
0
10
20
30
40
0
30
40
0.3
−0.1
0.1
Partial ACF
0.6
0.2
−0.2
ACF
20
pacf of g.yen
1.0
acf of g.yen
10
0
10
20
30
40
0
10
20
30
40
Applications: Exchange rate
pacf of ln.dm
0.4
Partial ACF
0.0
0.4
0.0
ACF
0.8
0.8
acf of ln.dm
0
10
20
30
40
0
30
40
−0.1
0.1 0.2 0.3
Partial ACF
0.4
0.0
ACF
20
pacf of g.dm
0.8
acf of g.dm
10
0
10
20
30
40
0
10
20
30
40
Applications: Exchange rate
0.8
0.6
ACF
0.4
0.0
0.2
0.4
0.2
0.0
ACF
0.6
0.8
1.0
acf of g.dm^2
1.0
acf of g.yen^2
0
10
20
30
40
0
10
20
30
40
Applications: NYSE Returns
0.00
−0.02
−0.04
−0.06
NYSE
0.02
0.04
NYSE returns
0
500
1000
1500
2000
2500
3000
3500
Applications: NYSE Returns
pacf of nyse^2
0.05
0.0
0.00
0.2
0.4
ACF
Partial ACF
0.6
0.10
0.8
1.0
acf of nyse
0
10
20
30
40
0
10
20
30
40
Applications: NYSE Returns
0.002
0.001
0.000
NYSE
0.003
0.004
Squared NYSE returns
0
500
1000
1500
2000
2500
3000
3500
Applications: NYSE Returns
0.0
0.2
0.4
ACF
0.6
0.8
1.0
acf of residual^2 (ARCH)
0
10
20
30
40
Applications: NYSE Returns
0.0
0.2
0.4
ACF
0.6
0.8
1.0
pacf of residual^2 (GARCH)
0
10
20
30
40
Applications: NYSE Returns
0.015
0.010
0.005
NYSE
0.020
Estimates (GARCH)
0
500
1000
1500
2000
2500
3000
3500
Applications: NYSE Returns
0.020
0.015
0.010
0.005
NYSE
0.025
0.030
Estimates (ARCH)
0
500
1000
1500
2000
2500
3000
3500