VAR modeļu un kointegrācijas analīzes pielietojums zelta cenas analīzē
Loading...
Date
Authors
Advisor
Journal Title
Journal ISSN
Volume Title
Publisher
Latvijas Universitāte
Language
lav
Abstract
Darbs tiek veltīts kointegrācijai un kļūdas korekcijas modelim. Darbā dots ieskats par vienības saknes testiem, vektoru autoregresijas vienādojumiem, kointegrāciju, kļūdu korekciju modeļiem. Metodes tika pielietotas pētot sakarības starp tādiem valūtu pāriem kā zelts pret ASV dolāru (XAU/USD) un Šveices franks pret ASV dolāru (CHF/USD). Ar Engla-Greinžera un Johansena metodēm parādīts, ka periodā no 2011. gada maija līdz 2016. gada decembrim pastāv kointegrācija starp iepriekš minētajiem instrumentiem.
The bachelor's thesis is devoted to cointegration and error correction model. The theoretical background of vector autoregression equations, cointegration, error correction models and unit root tests was given in the first part of the thesis. The methods were applied to study interrelationships between such currency pairs as gold to USD dollar (XAU/USD) and Switzerland franc to USD dollar (CHF/USD). Both Engle-Granger and Johansen methods indicate that in the period from May 2011 to December 2016 co-integration relationship existed between above mentioned instruments.
The bachelor's thesis is devoted to cointegration and error correction model. The theoretical background of vector autoregression equations, cointegration, error correction models and unit root tests was given in the first part of the thesis. The methods were applied to study interrelationships between such currency pairs as gold to USD dollar (XAU/USD) and Switzerland franc to USD dollar (CHF/USD). Both Engle-Granger and Johansen methods indicate that in the period from May 2011 to December 2016 co-integration relationship existed between above mentioned instruments.