Vector autoregression: forecasting and trading applications (Excel)

Today we are investigating vector autoregression (VAR) - a very prominent concept in time series econometrics - and how it can be used to forecast stock returns and construct simple trading strategies.
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[@jul8803]

Criminally underrated channel.

[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

[@heimlechihoudini416]

Great video, you are by far the best online teacher out there! Could you make a video about optimal capital structure and credit spreads using the leland model?

[@Ludovicusgoertz]

Another gem, thank you!
video suggestion: beta hedging for pair trades

[@nazarbond3161]

Great video!

[@olazomi]

Thank you for sharing

[@littlebigfis]

Great Content! Video request: Factor decomposition of an example CTA hedge funds return, regressed against factor indexes like volatility, carry, mean reversion/value, time series momentum

[@ashaykakde583]

Thank you great video

[@felipelopesdecamargo6381]

Great video! One question: aren't VAR-predicted returns supposed to be computed against the lag, rather than the contemporaneous change? If yes, how would this change results?

[@DivyanshiDiwa]

Sir can you make video on decile size adjusted return, idiosyncratic risk and industry value weighted returns, it will be really helpful.

[@jasonwayne4647]

legendary

[@govindchand9936]

I can't find the spreadsheet for this video and many other at the link

[@chuckaschultzz]

Great video tutorial! However, I noted you posted a link to review the Excel document featured in this video and was not able to locate NEDL_VAR_trading. Let me know if it can be posted, or if it is, how to locate.

[@chuckaschultzz]

I was able to reproduce - following you video. I did have a question on how it might be done if you were wanting to focus on a single stock, but incorporate 5 indicators (moving averages, supertrend, etc...). Do you think this could be similarly run - but in addition to predicting stock price movements (up or down) it would also predict the status of the indicator, assuming they are encoded one-hot or perhaps binary (0 or 1). Curious to hear your thoughts.

[@nuricansuncer3352]

Hello, thank you for the videos. I’m trying to reach you via mail and linkedin, could you please respond if you can see the message. Thank you again