Final Project for Big Data ECON 573
Which Macroeconomic Factors affect the Health and Energy industries?
The prices were taken from Yahoo Finance.
- VDE = Vanguard Energy ETF (Energy Industry proxy)
- VHT = Vanguard Health ETF (Health Industry proxy)
The Following Indicators were the most powerful predictors in predicting ETF industry volatility.
- Initial Jobless Claims (daily)
- Unemployment Rate (monthly)
- CPI (monthly)
- We used the GARCH model to explore the volatility of returns for each ETF
- We also used the following models:
- Ridge, Lasso, and Elastic Net Regression
- Trees and Random Forest