Autocorrelation Function or Serial correlation function
Augmented Dickey–Fuller test
Accrued Interest - interest that has accumulated on a bond since the last interest payment up to the settlement date.
Akaike information criterion
autoregressive conditional heteroskedasticity or heteroscedasticity
Auto Regressive Fractionally Integrated Moving Average
Autoregressive integrated moving average model
Auto-Regressive Moving Average (ARMA) is a stationary stochastic process made up of sums of auto-regressive Excel and moving average components.
Autoregressive moving average model with exogenous inputs
Bond Equivalent Yield
Bayesian information criterion
A special case of power transform to stabilize variance and make the data more normal distribution-like.
Statistical Confidence Interval
Capital Asset Pricing Model
Light crude oil (CL) is liquid petroleum that has a low density and flows freely at room temperature.
Complementary log-log link function
CME Group Inc. (Chicago Mercantile Exchange) is the world's largest futures exchange company
Close Of Business
Cost of Carry
Cheapest to deliver
A 9-character alphanumeric security identifiers that they distribute for all North American securities for the purposes of facilitating clearing and settlement of trades.
Holt-Winter's double exponential smoothing function
Discrete Fourier Transform
Dynamic-Link Library (computer file)
Dollar value of a one basis point (i.e. 0.01%) decrease in interest rates.
Empirical distribution function
Exponential general autoregressive conditional heteroskedastic (EGARCH) model by Nelson (1991)
U.S. Energy Information Administration
End-user license agreement
Exponentially weighted moving average
Exponentially weighted volatility
Exponentially weighted correlation function
Frequently Asked Questions
Autoregressive fractionally integrated moving average
Fast Fourier Transform
Generalized autoregressive conditional heteroskedasticity
GARCH-in-mean (GARCH-M) model adds a heteroskedasticity term into the mean equation
General Error Distribution (aka Exponential power distribution)
Generalized Linear Model
Hannan-Quinn Information Criterion
independent identically-distributed random variables
Time Series Integral Transform or Integral Operator
Inter quartile range
Kernel density estimate
Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test for the null hypothesis that x is level or trend stationary
Lag or backshift operator
Brown's linear exponential smoothing function
Lower limit of a statistical confidence interval
Log likelihood Function
Moving average process
median absolute deviation or difference
Mean absolute percentage error (or deviation) for the forecast and the eventual outcomes
Mean absolute relative difference
Market if Touched
Multiple Linear Regression
Market On Close
Market On Opening
Not-A-Number, a special floating point value (similar to infinity) used used in floating point operations.
Nonlinear Moving Average
NumXL runtime environment - a collection of (executables and configuration) file and folders that compose the NumXL runtime environment for custom application.
The New York Mercantile Exchange (NYMEX) is a commodity futures exchange owned and operated by CME Group of Chicago.
Profit and Loss
partial autocorrelation function
Principal Component Analysis
Principal Component Regression
relative mean difference
Remove missing values function
root mean square
root mean squared error
A Repurchase agreement (also known as a repo or Sale and Repurchase Agreement) allows a borrower to use a financial security as collateral for a cash loan at a fixed rate of interest.
Sum of absolute errors (SAE) between the forecast and the eventual outcomes
Seasonal Autoregressive integrated moving average model
Seasonal Autoregressive Integrated moving average with exogenous inputs model
Schwarz Bayesian Criterion
Software Development Kit
Signal Extraction in ARIMA Time Series - is a program (developed by Victor Gomez/Bank of Spain) which estimates and forecasts the trend, seasonal and irregular components of a time series using signal extraction techniques applied to ARIMA models.
Brown's simple exponential smoothing function
Schwarz Information Criterion
Simple Linear Regression
Strategic Petroleum Reserve - an emergency fuel storage of oil maintained by the United States Department of Energy.
Sum of the squared errors of the prediction function
standard deviation (volatility)- is a measure of the variability or dispersion of a population.
Winter's triple exponential smoothing function
Time Series Regression with ARIMA Noise, Missing Observations and Outliers - is a companion program (SEATS/TRAMO) for estimation and forecasting of regression models with ARIMA errors and missing values. It is used to preadjust a series, which will then be seasonally adjusted by SEATS.
Upper limit (UL) of a statistical confidence interval
Vector Auto Regression Moving-Average
Visual Basic for Applications
Weighted moving average
West Texas Intermediate (WTI), also known as Texas light sweet, is a grade of crude oil used as a benchmark in oil pricing.
A Software package developed by US Census bureau for seasonal adjustment in 1965. The X11 is non-model based, and uses filters to seasonally adjust data and estimate the components of a time series.
A software package originally developed by Statistics Canada in 1980 and updated in 1988 to X11ARIMA88, uses Box Jenkins AutoRegressive Integrated Moving Average (ARIMA) models to extend a time series. Essentially, the use of ARIMA modelling on the original series helps reduce revisions in the seasonally adjusted series so that the effect of the end-point problem is reduced.
X-12 or X-12-ARIMA is the U.S. Census Bureau's software package for seasonal adjustment.
A software package developed by the U.S. Census Bureau for seasonal adjustment. The X-12-ARIMA is the successor to X-11-ARIMA.
Combines the X-12-ARIMA package, developed at the US census bureau, with an implementation of the SEATS package for model-based seasonal adjustment, developed by Bank of Spain
X-12-ARIMA (Synonym to X12-ARIMA) was the U.S. Census Bureau's software package for seasonal adjustment.
cross correlation function