A government's ability to forecast key economic fundamentals accurately can affect business confidence, consumer sentiment, and foreign direct investment, among others. Government forecasts are subject to error, as can be seen by the frequent revisions that are made to initial, and even revised,...

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...

This paper examines stationary and nonstationary time series by formally testing for the presence of unit roots and seasonal unit roots prior to estimation, model selection and forecasting. Various Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) models are estimated over the period...