Review of Classical Models for Data Science in the Financial Economy

Data science has been widely used in finance and economics. In this paper, the strengths, weaknesses, and scope of application of two-time series models, VaR and ARMA, and their extension models, such as TSVaR and ARMA-Garch models, are investigated through a side-by-side comparison of several references. The areas of application are the gold, stock, and crude oil markets in the financial sector, and several variables in economics, such as GDP, interest rates, and the amount of money saved.