I have a positive-valued time series of daily prices (a sample is listed below -- there are a few thousand observations) that is recorded to two decimal places. It is stationary after computing the fractional change y(t) = x(t)/x(t-1) - 1. The standard deviation of changes is small enough that often the change is exactly zero. Should I fit the usual ARMA model with normal errors to fractional changes or fit an integer-valued ARMA model to the first differences? There are many software packages for ARMA models with normal errors. What software exists for integer-valued ARMA models? When is it necessary to fit an integer-valued ARMA model?
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