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ARIMA and GARCH

Group 2

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Forcasting

Forcasting was done using ARIMA model on theGold prices.For the period : 1-Oct-2010 to 15-April-2011, (472

entries)The series was tested for Unit Root Problem and 1 st

differential was used to make ARIMA model.

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D ickey- F uller: Unit Root Confirmed

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Unit Root

Unit Root problem was identified in the series.This means that the series was not stationary, so wecannot build any model on it.

1st order differential was taken(stationary) andARIMA model was built.

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Are Errors Significant?

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ARCH

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GARCH

Is volatility coming from yesterday s volatilityor from the yesterday s error and how much??

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Asymmetric Garch

D oes negative news impact volatility in thesame way as positive news does ??

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Higher Volatility, Higher Returns ??

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On USD

INR Exchange Rate

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The data was taken for the period 07/05/2010to 14/10/2011.

The series was tested for unit root problemand first differential was used to make ARIMAmodel.

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Errors Statistically insignificant: Model Accepted

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ARCH LM

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Thanks