Questions tagged [arfima]

ARFIMA (also FARIMA) models are AutoRegressive Fractionally Integrated Moving Average processes. They generalize ARIMA processes and are commonly used in financial time series analysis.

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Multistep forecasts in ARFIMA models with Monte-Carlo simulations

I have 3 questions about ARFIMA-* models forecasting. Let's look at standard stationary non-seasonal ARFIMA model representation via coefficients. $$ \left(1 - \sum_{i=1}^p\phi_{i} L\right) \left(1 -...
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Problem with Hurst exponent estimation for ARFIMA models

guys. I try to realize my ARFIMA model identification script in R. I try to find the best method for unbiased Hurst exponent estimation (fractional difference parameter could be found as Hurst - 0.5) ...
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fractional undifferencing - forecasting with ARFIMA

Suppose I have a time-series data which I want to apply ARFIMA model to. I want to calculate the parameters automatically, as it is done in auto.arima function. ...
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198 views

Scale parameter in fit.control option from “dccfit” rmgarch function

I'm interested in to know a bit more on what the scale parameter of the dccfit fit.control option is about. Here is the code ...
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Fitting an ARFIMA Model with Covariates in R

In R's arima() function, one can specify a list of covariates while estimating the AR and MA coefficients using the xreg ...
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Choosing ARFIMA parameters for fitting (R)

I have very broad question, because I think I'm missing something not too complicated. I'm trying to fit the suitable ARFIMA model for the data. I used fdGPH to estimate fractional differencing ...
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246 views

Multivariate Time Series Analysis Approach

I am facing an issue regarding the overall approach required for multivariate time series forecasting. I am a novice in R and statistics. Suppose I have 3 time series, X, Y and Z, where Z depends on ...
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155 views

ARFIMA covariance structure

I have a set of response processes (queue lengths in infinite server network). Using queue theory, I can numerically calculate response autocovariance structure, from the known service time ...
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245 views

Large differences in ARFIMA parameter $d$ using different estimators

I am trying to estimate parameter $d$ for ARFIMA model using different methods: Hurst, ML, fdSperio, fdGPH and the function arfima which selects the best fit ...
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Understanding fractional-differencing formula

I have a time series $y_t$ and I would like to model it as an ARFIMA (a.k.a. FARIMA) process. If $y_t$ is integrated of (fractional) order $d$, I would like to fractionally-difference it to make it ...
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Estimation of fractional order of integration in ARFIMA model

I wish to model monthly EUR/USD exchange rate by an ARFIMA($p,d,q$) model. My question is, how to determine the $d$ parameter of this model?
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Why do I get very different results estimating GARCH-M model in EViews and R (rugarch)?

I'm dealing with a GARCH-M model that I've estimated using R and EViews. Here are its mean and variance equations. Mean equation: $$ y_t=\mu + \rho \sigma^2_t + \varepsilon_t $$ Variance equation: ...