Using the Box-Jenkins approach to forecast inflation in the small open economy, we find that ARIMA can partly show dynamics of the country's CPI. Remarkably, the index in the present month suffers much the inertia of the previous month's and corrects substantially compared to that of 3 months ago

Data mining techniques are gaining an important place in finance as the size of the data is increasing exponentially with every passing day and the accuracy with which the data should be analyzed is very important. In this paper, an attempt is made to develop two models, one using three-layer...

This paper analyzes the dynamics of the US inflation time series using two classes of models: structural change models and long memory processes. For the first class, the Markov Switching Autoregressive (MS-AR) model of Hamilton (1989) and the Structural Change-Autoregressive (SCH-AR) model...

The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of...