Source: All images in this article were generated by the author in R using dygraphs

Using the Vector Error Correction Model to predict FANG Stock Prices

Modeling cointegrated time series data using VECMs

Financial data is the best known resource for time series data. Records of stock prices have been meticulously recorded for over a century, providing rich data sets. The stocks of the so-called ‘FANG’ companies, Facebook, Amazon, Netflix, and Google/Alphabet, have…