I am sitting with a couple of time-series that I am analysing using ARIMA models. I have a question regarding prediction intervals. When predicting using a model that takes a first difference (a SARIMA(1,1,0)x(1,0,0) model), I get an increasing size of the prediction interval. Without I get a very constant and narrow band (see below):
The corresponding results are as follows:
Can anyone explain why the band is so constant? First I thought it was because of a large significant MA coefficient. This, however, I removed and the "problem" persisted. Then I though it was because the ARIMA without differencing automatically included an intercept. However, again, when I specified
include.mean = FALSE, nothing changed.
Any help would be appreciated.