Classic – Airline Passenger Data

In this week’s “Tips and Tricks” newsletter, we present the analysis, modeling and forecast for international airline passenger data. We make use of a familiar example that first appeared in Time Series: Forecast and Control, a textbook by Box, Jenkins and…

Volatility Forecast with GARCH

This week, the “Tips & Tricks” newsletter tackles the issue of the volatility forecast using GARCHi Modeling techniques. Starting with S&P 500 ETFi monthly prices, the paper illustrates the few steps it takes to process the raw data; specify a model; fit…