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Inflation forecasts becomes a key input of monetary policy decision. CPI is a measure of inflation, however, an important economic indicator. Based on the monthly CPI data from January 2000 to December 2009, the thesis firstly statistically indentifies the correlation function and the partial correlation function of consumer price index, tests the stationarity of ADF, then uses ARIMA model to test...
In highly volatile market conditions it's always difficult to predict returns using heteroscedastic Garch models. This paper tries to investigate the impact of sample data inputs over forecast using nested conditional mean ARMAX(2, 2, 0) and conditional variance Garch(1, 1), Gjr-garch(1, 1) and Egarch(1, 1) models. Research also tries to indentify relationship between outcome of formal hypothesis...
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