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Results tagged with arima
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user 15606
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rollapply with Arima model: testing for stability of coefficients
I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation.
well i encountered the following … 2) when i do auto.arima to log returns i get an ARIMA(0,0,0) and when i dot it for raw raw prices i get ARIMA(3,1,3):
getSymbols("ICICIBANK.NS");
ICICIBANK.NS<-as.data.frame(ICICIBANK.NS)
ICICIBANK.NSreturns …
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