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Results tagged with acf-pacf
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user 53690
The AutoCorrelation Function and Partial AutoCorrelation Function pertain to the correlation of a time series with itself at different lags. They are used to detect non-independence & suggest p, d, q terms in the Box-Jenkins approach to ARIMA modeling.
2
votes
Accepted
Should we square return to calculate ACF and PACF?
ACF and PACF of (raw/levels) returns tells us something about the conditional mean of returns. If there are some significant values, an ARMA model may be relevant.
ACF and PACF of squared returns tell …
- 69.5k
2
votes
AR and MA terms for a highly irregular time-series?
Your series does not appear unusual to me. It looks more or less like white noise. If you were to simulate some i.i.d. data and plot them and their ACF & PACF, you would get a similar set of pictures. …
- 69.5k
0
votes
What is the autocovariance of a GARCH process with a constant mean?
We will prove that the autocovariance of a GARCH process with a constant mean is zero for all nonzero lags.
A GARCH(r,s) with a constant mean is:
\begin{aligned}
x_t &= \mu_t + u_t, \\
\mu_t &= \mu, \ …
- 69.5k
3
votes
Accepted
R: ACF/PACF plots contradict Breusch-Godfrey test results
Breusch-Godfrey is a portmanteau-type test; it looks at all lags up to 20 (or whatever maximum lag order you choose). Now, the ACF shows that autocorrelation is statistically significant only for one …
- 69.5k
0
votes
Accepted
AR model notation for non-consecutive PACF values?
AR(12) is the standard notation. You can call it restricted AR(12), as some coefficients preceding the last one are restricted to zero.
- 69.5k
2
votes
Ljung-Box always significant for ARIMA models - what now?
A note on terminology: commonly we fit a model to the data rather than fit the data to a model.
I can do step 1, but don't know how to relate that to step 2. Am I using the remainder from stl anal …
- 69.5k
0
votes
Accepted
Conflicting ACF/PACF after first-difference
There is nothing conflicting here. Differencing a unit root process removes the unit root. If the original process is AR(1) with a unit root, $y_t=y_{t-1}+\varepsilon_t$, the differenced process is ju …
- 69.5k
0
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Accepted
Do Vector Autoregression models have the same p, and q order terms as a ARMA model or same n...
Lag orders
VAR does not have any moving average ($q$) order, as it does not have a moving average component. VAR is a multivariate counterpart of AR, not of ARMA. (There is the VARMA model which does …
- 69.5k
0
votes
Is this a white noise? Can I use ARCH/GARCH models on this?
To my knowledge, to use ARCH/GARCH models you should have autocorrelation
This applies to a squared time series, not raw, but this is actually what you have in your graph, so that is OK. It is a bit …
- 69.5k
0
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ACF and PACF graphs - MA, AR, ARMA, ARIMA?
This looks like an AR(1) process: gradually decaying ACF and a sharp cutoff in PACF after lag 1. While the ACF of AR(1) should not become negative at distant langs, this is not uncommon in small and m …
- 69.5k
1
vote
Accepted
Questions about ARIMA
ARIMA only considers one variable and its own lags.
The lags in the plots reflect periodicity of your data. You probably have monthly data with 12 months making up one period. Then in the plots, a la …
- 69.5k
2
votes
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Identification Problem of SARIMA
This looks like a case of overdifferencing; notice the high and statistically significant negative partial autocorrelation at the seasonal frequency 12. The KPSS test had the correct indication of sta …
- 69.5k
1
vote
Accepted
Interpretation of the ACF of standardised residuals vs actual residuals
Assumptions for parameter estimators in an ARMA-GARCH model are made on standardized innovations, not raw ones. ACF plot of standardized innovations allows assessing whether the model assumptions are …
- 69.5k
2
votes
Accepted
Detecting autocorrelation of residuals using ACF and PACF plots
These plots look pretty decent to me. I would not expect better behavior even if the model happened to coincide with the true DGP. (You could simulate from the estimated model, fit the model on the si …
- 69.5k
0
votes
Accepted
Strange and very low results in Ljung-Box test
I can see that they are very close to 0 starting from lag 3, what gives me the idea of it being white noise
White noise should have close to zero autocorrelations for all (nonzero) lags, not only fr …
- 69.5k