Date of Award
4-24-2007
Degree Type
Thesis
Degree Name
Master of Science (MS)
Department
Mathematics and Statistics
First Advisor
Dr. Yu-Sheng Hsu - Chair
Second Advisor
Dr. Yichuan Zhao
Third Advisor
Dr. Yuanhui Xiao
Fourth Advisor
Dr. Huaqi Chai
Abstract
Using both single and vector processes, we fitted the Box-Jenkin’s ARIMA model and the Vector Autoregressive model following the Johansen approach, to forecast soy bean and green bean prices on the Chinese futures markets. The results are encouraging and provide empirical evidence that the vector processes perform better than the single series. The co-integration test indicated that the null hypothesis of no co-integration among the relevant variables could be rejected. This is one of the most important findings in this paper. The purposes for analyzing and modeling the series jointly are to understand the dynamic relationships over time among the series and improve the accuracy of forecasts for individuals series by utilizing the additional information available from the related series in the forecasts for each series.
DOI
https://doi.org/10.57709/1059679
Recommended Citation
Dongo, Kouadio Kouman, "Forecasting the Chinese Futures Markets Prices of Soy Bean and Green Bean Commodities." Thesis, Georgia State University, 2007.
doi: https://doi.org/10.57709/1059679