fintech-algorithms

VAR

Install and import

bash
npm install fintech-algorithms
ts
import { fitVAR } from "fintech-algorithms/statistical-time-series/multivariate-systems/var";

Signature

fitVAR(values, lags, includeIntercept)

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

values
[
  [-1.4163056264, -0.7075620912],
  [-1.4144491277, -0.24959813],
  [-1.915874322, -0.31233481]
]

Showing 3 of 120 elements.

lags
1

Call

fitVAR(values, lags, includeIntercept)

Returns

object with 16 fields: intercept, coefficients, sigma_u_mle, residuals, fitted, one_step_forecast, effective_observations, variables, …

{
  "intercept": [-0.070907764383, -0.013615076949],
  "coefficients": [
    [
      [0.555831819774, 0.20542641337],
      [-0.118628539474, 0.408179850969]
    ]
  ],
  "sigma_u_mle": [
    [0.726815513707, 0.33092608263],
    [0.33092608263, 0.420249111781]
  ],
  "residuals": [
    [-0.410961687007, -0.115184732022],
    [-1.00749667636, -0.364632839724],
    [-0.403977225473, -0.149480679886]
  ],
  "fitted": [
    [-1.003487440693, -0.134413397978],
    [-0.90837764564, 0.052298029724],
    [-1.199973495027, 0.086173519486]
  ],
  "one_step_forecast": [0.452328292866, -0.113742494174],
  "effective_observations": 119,
  "variables": 2,
  "lags": 1,
  "row_sum_stability_bound": 0.761258233144,
  "companion_spectral_radius": 0.501247229166,
  "stability_state": "stable",
  "stability_boundary": 1,
  "near_boundary_threshold": 0.9
}

Showing 14 of 16 fields.

Other exports

This module also exports companionMatrix, companionSpectralRadius, choleskyLower, fitRecursiveSVAR, fitVECMFixedBeta, movingAverageMatrices, impulseResponses, forecastErrorVarianceDecomposition. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams

VAR — system map

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References