# Questions tagged [arima]

The tag has no usage guidance.

72 questions
Filter by
Sorted by
Tagged with
1 vote
151 views

### Why is $Z_t$ uncorrelated with $X_{t-1}$ in $X_t=\theta X_{t-1}+Z_t$?

In a solution to the problem below, the teaching assistant solves it by calculating $\mathbb{E}[X_t^2]$ and ends up with also having to calculate $\mathbb{E}[X_{t-1}Z_t]$ after expanding the square. ...
• 221
118 views

### Do I use % return, log return or diff of prices to plot ACF?

I am reading a book on time series. To make a non-stationary series stationary, sometimes we need to difference the series. When it comes to finance, prices are non-stationary. Many authors fit ARMA ...
• 389
157 views

### How are the values of the ARMA process linked in python

In the code below, you can see that 'ret' is an ARMA process, and I am trying to see how the ret[0], etc... ret3, ret4, etc. are linked to each other, and although I know the formula for the ARMA ...
• 3
1 vote
43 views

### Price Prediction Intervals from Forecasted Returns (ARIMA)

I have successfully fit an ARIMA model to a time series of the daily returns of power futures prices. The question I have is: How can I create a prediction interval for the prices? Or, alternatively, ...
• 555
51 views

### What is the Id in the ARIMA model in Notes on financial risk of Privault?

I hope this is the right place to ask this question. I am studying the time series from Privault's Notes on Financial Risks. In the ARIMA model part I can't understand what is "I_d", it is ...
65 views

### Electricity Futures Risk Premiums With ARIMA

I am attempting to model long-term electricity prices using today's futures prices. Unlike most futures, electricity is delivered over a period of time (usually a month), rather than at a point in ...
• 555
29 views

### ARMAX model with rolling window for predicting inflation

First of all, similar questions like mine are answered on this forum but I never quite saw an answer to this specific question. I'm trying to predict inflation by using an AR model with exogenous ...
• 13
1 vote
82 views

### Modelling Skew when using ARMA Time Series

I am currently modelling financial time series via ARMA processes, but I have reason to believe that in addition to significant autocorrelation, the time series also exhibit skewness. Is there a way ...
• 462
72 views

### Should stock return series be modeled with a parametric distribution, or an autoregressive function? [closed]

If I have prior knowledg that a stock return series follows a parametric distribution, such as a Student t-distribution with 4 degrees of freedom, without actively looking for prior knowledge of ...
• 2,835
176 views

### How to model financial HFT time-series data with multi scale autocorrelation

I work with tick level time-series univariate prices data. Tick level means that there are hundreds to thousands observations per second. The observations are timestamped, so one can use both wall ...
• 61
1 vote
73 views

### Exploding forecast when increasing sample size in ARIMA in R/Python

I am fitting ARFIMA - eGARCH to time-series log returns in Python using R Rugarch package. The sample size is 2000, and I am doing 1-step ahead forecast. The following is the output ...
• 11
114 views

### Inter-temporal structural stability of stock markets

For my bachelor thesis I am trying to determine structural stability of some stock market in the following way: Identify an ARMA model for the whole sample Split the sample in two parts, and estimate ...
• 13
45 views

### Fitting a Spread into ARIMA AR(1) process

I'm a newbie to econometrics. I've simply ran a regression and have coefficient values of the variables. I'm running a regression for a crypto data, and I've gotten the Spread of the variables. To ...
• 101
1 vote
143 views

### Exchange rate trend-stationarity

I am kinda new to time-series analysis, I want model CEE (EUR/HUF, EUR/PLN, EUR/CZK, EUR/CHF) exchange rates with ARIMA. I understand that according to Box-Jenkins modeling, I should first check if my ...
• 11
1 vote
140 views

• 221
297 views

### distribution of AR, MA coefficients estimation in ARMA-GARCH models

could anyone give me an information about distributions of AR and MA coefficients via estimation? So, for example, I have ARMA(1,1)-GARCH(1,1) model with the same AR(1) and MA(1) parameters ...
• 221
1 vote