Date of Award
11-18-2008
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
Abstract
This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationships among the series can improve the accuracy of time series forecasting.
DOI
https://doi.org/10.57709/1059716
Recommended Citation
Hu, Zhejin, "Time Series Forecasting Model for Chinese Future Marketing Price of Copper and Aluminum." Thesis, Georgia State University, 2008.
doi: https://doi.org/10.57709/1059716