This paper highlights the statistical procedure used in developing models that have the ability of capturing and forecasting the traffic of mobile communication network operating in Vietnam. To build such models, we f...This paper highlights the statistical procedure used in developing models that have the ability of capturing and forecasting the traffic of mobile communication network operating in Vietnam. To build such models, we follow Box-Jenkins method to construct a multiplicative seasonal ARIMA model to represent the mean component using the past values of traffic, then incorporate a GARCH model to represent its volatility. The traffic is collected from EVN Telecom mobile communication network. Diagnostic tests and examination of forecast accuracy measures indicate that the multiplicative seasonal ARIMA/GARCH model, i.e. ARIMA (1, 0, 1) × (0, 1, 1)24/GARCH (1, 1) shows a good estimation when dealing with volatility clustering in the data series. This model can be considered to be a flexible model to capture well the characteristics of EVN traffic series and give reasonable forecasting results. Moreover, in such situations that the volatility is not necessary to be taken into account, i.e. short-term prediction, the multiplicative seasonal ARIMA/GARCH model still acts well with the GARCH parameters adjusted to GARCH (0, 0).展开更多
After the outbreak of COVID-19,the global economy entered a deep freeze.This observation is supported by the Volatility Index(VIX),which reflects the market risk expected by investors.In the current study,we predicted...After the outbreak of COVID-19,the global economy entered a deep freeze.This observation is supported by the Volatility Index(VIX),which reflects the market risk expected by investors.In the current study,we predicted the VIX using variables obtained fromthe sentiment analysis of data on Twitter posts related to the keyword“COVID-19,”using a model integrating the bidirectional long-term memory(BiLSTM),autoregressive integrated moving average(ARIMA)algorithm,and generalized autoregressive conditional heteroskedasticity(GARCH)model.The Linguistic Inquiry and Word Count(LIWC)program and Valence Aware Dictionary for Sentiment Reasoning(VADER)model were utilized as sentiment analysis methods.The results revealed that during COVID-19,the proposed integrated model,which trained both the Twitter sentiment values and historical VIX values,presented better results in forecasting the VIX in time-series regression and direction prediction than those of the other existing models.展开更多
文摘This paper highlights the statistical procedure used in developing models that have the ability of capturing and forecasting the traffic of mobile communication network operating in Vietnam. To build such models, we follow Box-Jenkins method to construct a multiplicative seasonal ARIMA model to represent the mean component using the past values of traffic, then incorporate a GARCH model to represent its volatility. The traffic is collected from EVN Telecom mobile communication network. Diagnostic tests and examination of forecast accuracy measures indicate that the multiplicative seasonal ARIMA/GARCH model, i.e. ARIMA (1, 0, 1) × (0, 1, 1)24/GARCH (1, 1) shows a good estimation when dealing with volatility clustering in the data series. This model can be considered to be a flexible model to capture well the characteristics of EVN traffic series and give reasonable forecasting results. Moreover, in such situations that the volatility is not necessary to be taken into account, i.e. short-term prediction, the multiplicative seasonal ARIMA/GARCH model still acts well with the GARCH parameters adjusted to GARCH (0, 0).
基金This work was supported by a National Research Foundation of Korea(NRF)grant funded by the Korean government(NRF-2020R1A2C1014957).
文摘After the outbreak of COVID-19,the global economy entered a deep freeze.This observation is supported by the Volatility Index(VIX),which reflects the market risk expected by investors.In the current study,we predicted the VIX using variables obtained fromthe sentiment analysis of data on Twitter posts related to the keyword“COVID-19,”using a model integrating the bidirectional long-term memory(BiLSTM),autoregressive integrated moving average(ARIMA)algorithm,and generalized autoregressive conditional heteroskedasticity(GARCH)model.The Linguistic Inquiry and Word Count(LIWC)program and Valence Aware Dictionary for Sentiment Reasoning(VADER)model were utilized as sentiment analysis methods.The results revealed that during COVID-19,the proposed integrated model,which trained both the Twitter sentiment values and historical VIX values,presented better results in forecasting the VIX in time-series regression and direction prediction than those of the other existing models.
