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Thesis.pdf

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Thesis_code.html

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jupyter_notebooks/.ipynb_checkpoints/Drawboard-checkpoint.ipynb

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jupyter_notebooks/.ipynb_checkpoints/Thesis_code-checkpoint.ipynb

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jupyter_notebooks/.ipynb_checkpoints/Thesis_code-statsmodels_dev-checkpoint.ipynb

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jupyter_notebooks/ARIMA-AIC

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# Results:
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# Full Timeframe:
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# SPX - ARIMA(1,1,4) - AIC: 10758.198192546315
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# VIX - ARIMA(3,1,2) - AIC: 21889.028233653335
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# SSE - ARIMA(1,1,5) - AIC: 12169.557534309832
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# CNY - ARIMA(1,1,1) - AIC: -1003.5401487642739
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# Great Recession:
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# SPX - ARIMA(4,1,2) - AIC: 1739.6003213865279
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# SSE - ARIMA(2,1,3) - AIC: 1789.586686883696
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# CNY - ARIMA(5,1,4) - AIC: -405.41631057550217
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# COVID-19 Recession:
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# SPX - ARIMA(4,2,1) - AIC: 508.99928478750485
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# SSE - ARIMA(5,1,1) - AIC: 364.6105897315973
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# CNY - ARIMA(2,1,3) - AIC: 72.41321131046692
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# d = 0
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# Full Timeframe:
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# SPX - ARIMA(3,0,2) - AIC: 10749.64589009811
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# VIX - ARIMA(5,0,1) - AIC: 21866.209778312495
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# SSE - ARIMA(5,0,5) - AIC: 12161.348229326028
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# CNY - ARIMA(3,0,2) - AIC: -1011.603848904977
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# Training Set (2007-2018):
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# SPX - ARIMA(3,0,2) - AIC: 9416.047035852203
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# SSE - ARIMA(5,0,5) - AIC: 11089.529143534684
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# CNY - ARIMA(3,0,3) - AIC: -1218.7477046099839
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# Great Recession:
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# SPX - ARIMA(5,0,5) - AIC: 1742.578737662111
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# SSE - ARIMA(5,0,4) - AIC: 1783.6193021429967
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# CNY - ARIMA(5,0,1) - AIC: -410.43351195510377
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# COVID-19 Recession:
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# SPX - ARIMA(5,1,1) - AIC: 502.39231332962413
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# SSE - ARIMA(5,0,3) - AIC: 360.10804748415933
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# CNY - ARIMA(3,0,3) - AIC: 75.57924674406374

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