A Comparative Study of the Predictive Power of ARIMA and VAR Models: Evidence from Crude Oil Prices, Stock Market Movement and Economic Growth Nexus in Nigeria
Journal Title: Journal of Advanced Research in Applied Mathematics and Statistics - Year 2017, Vol 2, Issue 3
Abstract
This work compares the predictive power of univariates and multivariate models of crude oil prices, stock market capitalization and exchange rate. Modeling of the respective series as univariates and modeling the dynamic relationship that exists between them using vector autoregressive (VAR) model with the view of obtaining forecasts of the series is carried out. Two-point forecasts from the univariates and multivariate models were obtained. It is observed that the use of multivariate model presents a better framework for forecasting.
Authors and Affiliations
Nsisong Patrick Ekong
Keywords
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