The Fractal Market Hypothesis (FMH) is a theory that suggests that financial markets behave in the same way as natural phenomena and are subject to the same physical laws as found in nature. It suggests that financial markets are composed of similar patterns which repeat over and over again at …

Volatility of an asset is a measure of how much the price of that asset varies over time. In other words, it is a measure of how “risky” an investment in that asset is. The higher the volatility, the greater the risk. There are two main types of volatility: historical …

In the financial world, time series analysis is frequently used to predict stock prices, interest rates, and currency exchange rates. Econometric models are a type of time series analysis that uses historical data to forecast future asset prices and volatilities. Reference applied the autoregressive integrated moving average (ARIMA) model …

It’s commonly believed that Gold is a good diversifying asset, and for many years, this was true. Gold is often seen as a safe-haven asset, which means that investors turn to it when they are worried about the stock market. However, Gold has not always been a good investment. In …

We have previously discussed the price dynamics of the SP500 volatility index, VIX. A recent article investigated the trending/mean-reverting properties of several volatility indices. The paper’s objective is to use the autoregressive fractionally integrated moving average (ARFIMA) model to extend research on Hurst exponent to the universe of volatility …

Econometrics is the study of economic hypotheses and theories using mathematical and statistical models. The field has garnered significant attention over the last decade due to its significance in economics. To most people, econometrics may sound like a complex subject. However, they can use some books to acquire knowledge of …

Since the inception of the idea of econometrics, many economic analysts have used its model to explain the interrelatedness of fundamental economic factors. These factors include labor, capital, interest rates, as well as government’s fiscal and monetary policies. Econometricians use a ton of data available to them to analyze these …

For those who love to dig into the root of problems and proffer possible solutions, Econometrics and Operations Research could be the right options. In analyzing models, one can make decisions that are apt for the now and future. However, through an understanding of the focal points of each of …

Both econometrics and machine learning provide a way for analysts to have a glimpse of the future, and on that basis, make predictions. As research methodologies, both strive towards the same goal: inducing new knowledge. And, for this purpose, they adopt statistical tools, making for precision in scientific research. However, …

What is Econometrics? Econometrics is a field in economics that applies statistical and mathematical methods to economic theories. It has become more relevant over the years as it helps economists quantify their economic theories and hypotheses. Econometrics helps economists test those theories by using statistical tools with mathematical equations. Therefore, …