What is Granger Causality | Time Series | Statistical Modeling | Forecasting
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- Опубликовано: 11 сен 2024
- IN this video you will learn about what is GRanger causality and what is its role in time series forecasting. Granger Causality is used to test of another time series has causal effect on the future prices of the given time series
Following points are important
Many Time Series move simultaneously
Common in financial time series
Knowing Inter relation is important for better forecasting
Example : Fund manager managing several asset classes
X(t) granger causes Y(t) , if the past values of X(t) helps in predicting the future values of Y(t)
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