Time Series Analysis with R: ARMA, ARIMA, ARFIMA, ARCH, GARCH, VAR Models

Phân tích chuỗi thời gian với R:  Mô hình ARMA, ARIMA, ARFIMA (FARIMA), ARCH, GARCH, VAR

  • OTexts: Forecasting: principles and practice

ARIMA models

Dynamic regression models

Vector autoregressions (VAR)



  • Analytics Vidhya

A Complete Tutorial on Time Series Modeling in R



  • Avril Coghlan: Using R for Time Series Analysis

ARIMA Models



  • Quintuitive

ARMA Models for Trading



  • Portfolio Probe

A practical introduction to garch modeling (+EGARCH)



  • I. Ozkan: ARCH-GARCH Example with R

ARCH-GARCH Example with BIST, Oil and TL/USD Series



  • Alexios Ghalanos 

Introduction to the rugarch package (ARFIMAX, GARCH, NGARCH, NAGARCH, IGARCH, EGARCH, GJR-GARCH, TGARCH, AVGARCH, APARCH, fGARCH, …)

The rmgarch models: Background and properties (Multivariate GARCH: DCC-GARCH, GO-GARCH, Copula-GARCH)



  • Bernhard Pfaff

VAR, SVAR and SVEC Models: Implementation Within R Package vars (+Cointegration)



  • QuantStart: Time Series Analysis
  1. Beginner’s Guide to Time Series Analysis
  2. Serial Correlation in Time Series Analysis
  3. White Noise and Random Walks in Time Series Analysis
  4. Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis – Part 1
  5. Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis – Part 2
  6. Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis – Part 3
  7. Autoregressive Integrated Moving Average ARIMA(p, d, q) Models for Time Series Analysis
  8. Generalised Autoregressive Conditional Heteroskedasticity GARCH(p, q) Models for Time Series Analysis
  9. ARIMA+GARCH Trading Strategy on the S&P500 Stock Market Index Using R
  10. State Space Models and the Kalman Filter
  11. Cointegrated Time Series Analysis for Mean Reversion Trading with R (Cointegration)

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