# Questions tagged [arima]

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### eGARCH(1,1) model evaluation (R). How to assess model integrity?

I am using GARCH modelling for my bachelor thesis in Economics. I am entirely new to the concept, and have only been looking into these kind of models for about a week now. I am trying to do a ...
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### YUIMA: Drift and diffusion parameters must be different?

I am currently working with the Yuima package and trying the estimate the parameters of a CARMA(p,q) model to real data. Using the eacf function of the TSA package a ARMA (2,1) process is recommended ...
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1 vote
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### Inverse differencing in continuous time

I want to fit a continuous time ARMA (CARMA) model to traffic data $T_t$. After removing trend and seasonality I need first order differencing to obtain stationarity. Then I fit a CARMA model (yuima ...
• 135
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### Weak stationarity of continuous ARMA process from Brockwell

I am currently working on Brockwell "Levy-driven CARMA processes" (2001) and I am stuck in the introduction. So we have a continuous AR process (CAR(p)) \begin{align*} X_t=e^{At}X_0+\...
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### Does cointegration test of exogenous variable with Y variable make sense when doing ARIMAX/SARIMAX?

The cointegration test between two time series variable is generally relevant from my understanding when you are performing a regression model. In terms of ARIMA model the approach is straightforward ...
1 vote
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### In copula modeling for time series data, why do we need to fit ARIMA/GARCH and then work on standardized residulas.?

I have read that for standard copula modeling, you can get empirical cdf of data and use it for copulas. But for time series data, we must first fit ARIMA/GARCH, get standardized residuals, and only ...
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### State space equation of CARMA(p,q) processes

Thanks for visting my question:) I am currently working on Carma(p,q) processes and do not understand how to derive the state equation. So the CARMA(p,q) process is defined by: for $p>q$ the ...
• 135
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### Are ARMA-GARCH-type models suitable for monthly data?

I understand that ARMA-GARCH models and their variations are usually applied to daily time series. While I know that such models can be also estimated on monthly data, I have seen few applications in ...
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1 vote
195 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. ...
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### 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 ...
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### 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 ...
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1 vote
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### 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, ...
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### 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 ...
81 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 ...
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### 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 ...
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1 vote
218 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 ...
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### 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 ...
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### 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 ...
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1 vote
81 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 ...
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### 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 ...
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### 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 ...
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1 vote
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### 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 ...
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### Combining SARIMA and GARCH model for prediction in python

I need to understand the concept of combining (S)ARIMA and (G)ARCH model for the predicting time-series data. I understand that after fitting the arima model ...
• 111
375 views

### Confidence Intervals for ARMA+GARCH forecasts

I have fitted an ARMA(1,1)+GARCH(1,1) model to my logreturns series. When it comes to my standarized error's distribution however, I have opted for a Skewed Generalized Error Distribution, because of ...
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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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4k views

### MLE error in R: initial value in 'vmmin' is not finite

I am trying to fit an ARIMA(1,1)-GARCH(1,1) model. I changed the starting values a lot but still its returning the same error. Below is my code which contains two functions ...
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