For the large family of ARMA models with variable coefficients we provide an explicit and computationally tractable solution representation, which yields the fundamental properties of such processes, including the Wold-Cramer decomposition and the covariance structure. These results are founded...

We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19. The model is a Poisson autoregression, and can reveal whether contagion has a trend, and where is each country on that trend. Model results are presented from the observed series of China,...

Estimating the exchange rate is considered a key tool for economic planning and reaching economic stability. This study aims to reach the best model for predicting exchange rates of Iraqi Dinar against the U.S. dollar in the period (2008-2017). For this purpose the following methods have been...

This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of the ARFIMA model, the wavelet decomposition technique (namely, the discrete MODWT with Daubechies least asymmetric...

Many forms of the ARIMA (auto-regressive integrated moving average) modeling method are used across risk management and specifically within PPNR (Pre-Provision Net Revenue) for CCAR (Comprehensive Capital Analysis and Review) and DFAST (Dodd-Frank Act Stress Testing). The ARIMA method allows for...

This paper aims to obtain an appropriate ARIMA model for the Sudan GDP using the Box- Jenkins methodology during the period 1960-2018 the various ARIMA models with different order of autoregressive and moving-average terms were compared. The appropriate model for Sudan is an ARIMA (1,1,1), the...