The Baltic countries sectoral share price indexes VAR model

According to the same modern Baltic countries economical and political integration, united OMX Baltic security market created.The main purpose of this article is to forecast her sectoral share price indexes according to their interdependent relationship during 2000-2010 year.Time series models, lin...

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Bibliographic Details
Main Authors:	Roma Uzdanavičiūtė, Rimantas Rudzkis
Format:	Article
Language:	English
Published:	Vilnius University Press 2011-12-01
Series:	Lietuvos Matematikos Rinkinys
Subjects:	OMX Baltic security market sectoral share price indexes stationarity vector autoregressionmodel (VAR)
Online Access:	https://www.journals.vu.lt/LMR/article/view/15453

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spelling	doaj-b18522d0596046409c2d3e27bddf85532020-11-25T02:52:04ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2011-12-0152proc. LMS10.15388/LMR.2011.st05The Baltic countries sectoral share price indexes VAR modelRoma Uzdanavičiūtė0Rimantas Rudzkis1Vilniaus Gedimino technikos universitetasVilniaus universitetas According to the same modern Baltic countries economical and political integration, united OMX Baltic security market created.The main purpose of this article is to forecast her sectoral share price indexes according to their interdependent relationship during 2000-2010 year.Time series models, linear regression models and a vector autoregression model (VAR) can be used to model and forecast indexes processes.Therefore, the vector autoregression model is proposed for modelling.Theoretical aspects of model estimation are reviewed: time series stationarity, model identification, parameter estimation, model usage and forecasts. https://www.journals.vu.lt/LMR/article/view/15453OMX Baltic security marketsectoral share price indexesstationarityvector autoregressionmodel (VAR)
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Roma Uzdanavičiūtė Rimantas Rudzkis
spellingShingle	Roma Uzdanavičiūtė Rimantas Rudzkis The Baltic countries sectoral share price indexes VAR model Lietuvos Matematikos Rinkinys OMX Baltic security market sectoral share price indexes stationarity vector autoregressionmodel (VAR)
author_facet	Roma Uzdanavičiūtė Rimantas Rudzkis
author_sort	Roma Uzdanavičiūtė
title	The Baltic countries sectoral share price indexes VAR model
title_short	The Baltic countries sectoral share price indexes VAR model
title_full	The Baltic countries sectoral share price indexes VAR model
title_fullStr	The Baltic countries sectoral share price indexes VAR model
title_full_unstemmed	The Baltic countries sectoral share price indexes VAR model
title_sort	baltic countries sectoral share price indexes var model
publisher	Vilnius University Press
series	Lietuvos Matematikos Rinkinys
issn	0132-2818 2335-898X
publishDate	2011-12-01
description	According to the same modern Baltic countries economical and political integration, united OMX Baltic security market created.The main purpose of this article is to forecast her sectoral share price indexes according to their interdependent relationship during 2000-2010 year.Time series models, linear regression models and a vector autoregression model (VAR) can be used to model and forecast indexes processes.Therefore, the vector autoregression model is proposed for modelling.Theoretical aspects of model estimation are reviewed: time series stationarity, model identification, parameter estimation, model usage and forecasts.
topic	OMX Baltic security market sectoral share price indexes stationarity vector autoregressionmodel (VAR)
url	https://www.journals.vu.lt/LMR/article/view/15453
work_keys_str_mv	AT romauzdanaviciute thebalticcountriessectoralsharepriceindexesvarmodel AT rimantasrudzkis thebalticcountriessectoralsharepriceindexesvarmodel AT romauzdanaviciute balticcountriessectoralsharepriceindexesvarmodel AT rimantasrudzkis balticcountriessectoralsharepriceindexesvarmodel
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The Baltic countries sectoral share price indexes VAR model

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