Forecasting EGX30 index time series using vector autoregressive models VARS

Abstract

Time series analysis is considered one of the most important analysis processes at the present time, especially if it is a multivariate analysis. This analysis helps the decision maker in making his future decision based on the behavior of a phenomenon in the past. This is done for many economic, financial, engineering, medical, and other important fields. So we were keen in this article to address a multivariate time series using the vector autoregressive models analysis of the practical time series This analysis is also used in the process of forecasting the future of multiple time series. Three packages from the R program, are used for numerical analysis these data, that are