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Results tagged with arima
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user 97107
Refers to the AutoRegressive Integrated Moving Average model used in time series modeling both for data description and for forecasting. This model generalizes the ARMA model by including a term for differencing, which is useful for removing trends and handling some types of non-stationarity.
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To fit a GARCH on ARIMA residuals or to fit an ARIMA+GARCH
I am working on time series data and have both conditional mean and conditional variance in the process. My strategy has so far been to fit a GARCH on the residuals of a fitted ARMA model.
But then …
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