ARIMA Presentation (UTD - GARP) 2016
I recently presented a presentation on the uses and abuses of ARIMA modeling in PPNR at the University of Texas Dallas at a Global Risk Association Professionals chapter meeting. I recorded a practice version which can be watched below. Some of the questions asked during the meeting are listed below however I don't answer them in this video. They are great questions to think about. How would you answer these?
Should you ever difference more than once?
What is a faster way to select variables for PPNR models while maintaining a stable model?
What tests do banks look at when determining a good model?