ACF
Autocorrelation Function or Serial correlation function
ADF
Augmented Dickey–Fuller test
AI
Accrued Interest - interest that has accumulated on a bond since the last interest payment up to the settlement date.
AIC
Akaike information criterion
AR
Auto-regressive model
ARCH
autoregressive conditional heteroskedasticity or heteroscedasticity
ARFIMA
Auto Regressive Fractionally Integrated Moving Average
ARIMA
Autoregressive integrated moving average model
ARMA
Auto-Regressive Moving Average (ARMA) is a stationary stochastic process made up of sums of auto-regressive Excel and moving average components.
ARMAX
Autoregressive moving average model with exogenous inputs
BEY
Bond Equivalent Yield
BIC
Bayesian information criterion
BNOC
Basis-net-of carry
BOX-COX
A special case of power transform to stabilize variance and make the data more normal distribution-like.
C.I.
Statistical Confidence Interval
CAPM
Capital Asset Pricing Model
CL
Light crude oil (CL) is liquid petroleum that has a low density and flows freely at room temperature.
CLOGLOG
Complementary log-log link function
CME
CME Group Inc. (Chicago Mercantile Exchange) is the world's largest futures exchange company
COB
Close Of Business
CoC
Cost of Carry
CTD
Cheapest to deliver
CUSIP
A 9-character alphanumeric security identifiers that they distribute for all North American securities for the purposes of facilitating clearing and settlement of trades.
DESMTH
Holt-Winter's double exponential smoothing function
DFT
Discrete Fourier Transform
DLL
Dynamic-Link Library (computer file)
DV01
Dollar value of a one basis point (i.e. 0.01%) decrease in interest rates.
EDF
Empirical distribution function
EGARCH
Exponential general autoregressive conditional heteroskedastic (EGARCH) model by Nelson (1991)
EIA
U.S. Energy Information Administration
EOD
End-of-day
ETF
Exchange-traded Fund
EULA
End-user license agreement
EWMA
Exponentially weighted moving average
EWV
Exponentially weighted volatility
EWXCF
Exponentially weighted correlation function
FAQ
Frequently Asked Questions
FARIMA
Autoregressive fractionally integrated moving average
FFT
Fast Fourier Transform
GARCH
Generalized autoregressive conditional heteroskedasticity
GARCH-M
GARCH-in-mean (GARCH-M) model adds a heteroskedasticity term into the mean equation
GED
General Error Distribution (aka Exponential power distribution)
GLM
Generalized Linear Model
HQC
Hannan-Quinn Information Criterion
i.i.d
independent identically-distributed random variables
INTG
Time Series Integral Transform or Integral Operator
IQR
Inter quartile range
KDE
Kernel density estimate
KPSS
Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test for the null hypothesis that x is level or trend stationary
LAG
Lag or backshift operator
LESMTH
Brown's linear exponential smoothing function
LL
Lower limit of a statistical confidence interval
LLF
Log likelihood Function
MA
Moving average process
MAD
median absolute deviation or difference
MAPE
Mean absolute percentage error (or deviation) for the forecast and the eventual outcomes
MARD
Mean absolute relative difference
MD
Mean difference
MIT
Market if Touched
MLR
Multiple Linear Regression
MOC
Market On Close
MOO
Market On Opening
NaN
Not-A-Number, a special floating point value (similar to infinity) used used in floating point operations.
NAR
Nonlinear autoregressive
NARMA
nonlinear autoregressive–moving-average
NMA
Nonlinear Moving Average
NRE
NumXL runtime environment - a collection of (executables and configuration) file and folders that compose the NumXL runtime environment for custom application.
NYMEX
The New York Mercantile Exchange (NYMEX) is a commodity futures exchange owned and operated by CME Group of Chicago.
P&L
Profit and Loss
PACF
partial autocorrelation function
PCA
Principal Component Analysis
PCR
Principal Component Regression
RMD
relative mean difference
RMNA
Remove missing values function
RMS
root mean square
RMSE
root mean squared error
RP
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.
SAE
Sum of absolute errors (SAE) between the forecast and the eventual outcomes
SARIMA
Seasonal Autoregressive integrated moving average model
SARIMAX
Seasonal Autoregressive Integrated moving average with exogenous inputs model
SBC
Schwarz Bayesian Criterion
SDK
Software Development Kit
SEATS
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.
SESMTH
Brown's simple exponential smoothing function
SIC
Schwarz Information Criterion
SLR
Simple Linear Regression
SPR
Strategic Petroleum Reserve - an emergency fuel storage of oil maintained by the United States Department of Energy.
SSE
Sum of the squared errors of the prediction function
STDEV
standard deviation (volatility)- is a measure of the variability or dispersion of a population.
TESMTH
Winter's triple exponential smoothing function
TRAMO
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.
UL
Upper limit (UL) of a statistical confidence interval
VAR
Vector Auto-regression
VARIMA
Vector ARIMA
VARMA
Vector Auto Regression Moving-Average
VBA
Visual Basic for Applications
WMA
Weighted moving average
WTI
West Texas Intermediate (WTI), also known as Texas light sweet, is a grade of crude oil used as a benchmark in oil pricing.
X-11
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.
X-11-ARIMA
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
X-12 or X-12-ARIMA is the U.S. Census Bureau's software package for seasonal adjustment.
X-12-ARIMA
A software package developed by the U.S. Census Bureau for seasonal adjustment. The X-12-ARIMA is the successor to X-11-ARIMA.
X-13ARIMA-SEATS
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
X12-ARIMA
X-12-ARIMA (Synonym to X12-ARIMA) was the U.S. Census Bureau's software package for seasonal adjustment.
XCF
cross correlation function
XKURT
Excess kurtosis