Empirical analysis of security papers of high-technology companies on the basis of a VARMA model

A VARMA-model represents a modern instrument for modeling and forecasting time series having a high degree of novelty for national science. An algorithm of study on the basis of a VARMA-model is suggested in the article, then it is tested through the example of modeling dynamics of price increment for security papers of Apple, Microsoft Corporation and Netflix. Within the framework of the study undertaken, the influence of historical data of trading on change in the future price of security papers of the companies being analyzed has been revealed: interconnections between shares of each company have been evaluated, and also the influence of the change of the shares dynamics of one company on quotations of two other companies has been analyzed. The developed model has been tested for robustness, also its validity has been evaluated and measures for optimization of VARMA-models have been suggested. Besides, timeliness of its use when undertaking national studies has been substantiated.