What is Granger Causality | Time Series | Statistical Modeling | Forecasting

IN this video you will learn about what is GRanger causality and what is its role in time series forecasting. Granger Causality is used to test of another time series has causal effect on the future prices of the given time series

Following points are important
Many Time Series move simultaneously

Common in financial time series

Knowing Inter relation is important for better forecasting

Example : Fund manager managing several asset classes

X(t) granger causes Y(t) , if the past values of X(t) helps in predicting the future values of Y(t)

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Видео What is Granger Causality | Time Series | Statistical Modeling | Forecasting канала Analytics University