H.A. Jafarova, R.T. Aliyev.
The use of autoregressive process AR(1) in the analysis of some finance indices


The article considers an autoregressive process AR(1) with finance application. The solution of many control problems comes down to autoregressive process. We study the first-order autoregressive process AR(1) with application to the S&P500 and NASDAQ indices for 01/01/2017-01/08/2021. The main purpose of the study is to investigate the effects of the Covid-19 pandemic on stock indices. For statistical computing and visualization, R language and environment are used.

Keywords:
Autoregressive process AR(1), Markov walk, Finance, Price of stock Indices, R programming language, Economic efficiency

DOI: https://doi.org/10.54381/icp.2022.1.03
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