ARIMA and GARCH

Group 2

Forcasting
Forcasting was done using ARIMA model on the Gold prices. For the period : 1-Oct-2010 to 15-April-2011, (472 entries) The series was tested for Unit Root Problem and 1st differential was used to make ARIMA model.

Dickey-Fuller: Unit Root Confirmed

Unit Root
Unit Root problem was identified in the series. This means that the series was not stationary, so we cannot build any model on it. 1st order differential was taken(stationary) and ARIMA model was built.

Forecasted Value

Are Errors Significant?

ARCH LM Test
Does error terms have constant variance?? Null Hypothesis: Error terms have a constant variance

ARCH

GARCH
Is volatility coming from yesterday s volatility or from the yesterday s error and how much??

Asymmetric Garch
Does negative news impact volatility in the same way as positive news does ??

 Higher Volatility, Higher Returns ??

On USDINR Exchange Rate

 The data was taken for the period 07/05/2010 to 14/10/2011. The series was tested for unit root problem and first differential was used to make ARIMA model.

Errors Statistically insignificant: Model Accepted

ARCH LM

Thanks