Avinash793 / time-series-analysis-examples

Detailed implementation of various time series analysis models and concepts on real datasets.

Time Series Analysis Examples

Detailed implementation of various time series analysis models and concepts on real datasets.

Time Series Models Covered

• White Noise Model
• Random Walk
• AR Model
• ARIMA Model
• Vector Autoregressive Regression (VAR) Model
• Volatility Modelling using ARCH & GARCH Models
• Markov Switching Dynamics Regression (MSDR) Model

Time Series Concepts Covered

You will find implementation of below concepts which can be used for your reference:

• Log Returns
• White Noise Model
• White Noise Tests - Autocorrelation plot and Ljung Box Test
• Random Walk
• Time Series Decomposition
• AR(p) Model
• MA(q) Model
• ARMA(p,q) Model
• ARIMA(p,q,d) Model
• Augumented Dickey Fuller Test - Check for Stationarity / Non-Stationarity
• Differencing Method
• Autocorrelation Function (ACF)
• Partial Autocorrelation Function (PACF)
• Model Selection Criterion - AIC, BIC, HQC
• Model Diagnostics
• Residual Diagnostics
• Normal Q-Q plot
• Forecasting return
• Multi-Variate Time Series Analysis
• VAR(p) Model
• Impulse Response Functions
• Volatility Modelling
• ARCH(p) model
• GARCH(p,q) model
• Jarque Bera Test
• Forecasting volatility - One step ahead and N step ahead
• Hidden Markov Models (HMM)
• Markov Switching Dynamic Regression (MSDR) Model