var-model

Projetos de modelagem e previsão de séries temporal em linguagem Python e linguagem R. Usarei vários modelos de bibliotecas e pacotes usados para tratamento, modelagem e previsão de séries temporais. Falarei um pouco sobre cada uma delas, gerarei a validação e as previsões e, por fim, realizarei a avaliação com a métricas pertinentes.

Stock market prediction on 5 italian companies using VAR model, OLS regressions and LSTM recurrent neural networks over data retrieved from Refinitiv Eikon

Time series analysis and forecasting with statistical models, exponential smoothing, and curve-fitting techniques.

Examining high-frequency ETF data using ARMA, VAR, and GARCH models to capture return dynamics and volatility.

This project investigates the monetary transmission mechanism along with IS-LM Curve and the short-run Phillips Curve in Japan over the period 2000–2025

SMU ECON248 "Financial Market and Monetary Policy" project. A Vector Autoregression (VAR) model was used to evaluate the use of exchange rate as monetary policy to achieve Economic Growth and Price Stability in Vietnam. Data obtained from SEIC database.

Vector Autoregression model for Egyptian macroeconomic forecasting

Time Series Forecasting System for Apple Stock using VAR, LSTM & Hybrid Models with FastAPI + Streamlit and Cloud Deployment (GCP)

Bayesian VAR(3) model for macroeconomic stress testing in Argentina, built from scratch in NumPy.

MSc thesis about sales forecasting in high-dimensional contexts taking into account product relationships and promotions

Econometric analysis of SGD exchange rate impact on Singapore's CPI and Import Price Index using OLS regression, Granger causality, VAR modelling and impulse response analysis. Built with R.

Modelling data using the VaR

Detailed implementation of various time series analysis models and concepts on real datasets.

Engineered an econometric time-series pipeline in Python to analyze USD/INR exchange rate dynamics. Employs stationarity testing, VAR system modeling, and forecast error variance decomposition to prove the transition toward Global Financial Cycle dominance post-2020.

Financial Econometrics project analysing the relationship between the S&P 500, IBEX 35 and Inditex using VAR models, Granger Causality, IRF and FEVD.

📈 Time Series Analysis & Forecasting (R): Financial GARCH models and Macroeconomic VAR/SARIMA systems.

Quantitative analysis of Russia's structural dependency on China post-2022 sanctions : VAR, Event Study, Network Analysis & Trade Econometrics (Python)

30-day Bitcoin price forecasting using ARIMA & VAR models with 95% confidence intervals and Granger causality analysis (EUR/USD, Gold, S&P 500, Crude Oil)

Masters Thesis Project on Media Prejudice

Ce projet analyse la volatilité et les interactions de trois ETF (MEU.PA, BNKE.PA, ANX.PA) sur la période 2013-2025. Modèles GARCH (univariés et multivariés BEKK) pour modéliser la volatilité conditionnelle et des modèles VAR, tests de causalité de Granger et fonctions de réponse aux impulsions