Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [arfima]

ARFIMA (also FARIMA) models are AutoRegressive Fractionally Integrated Moving Average processes. They generalize ARIMA processes and are commonly used in financial time series analysis.

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Understanding fractional-differencing formula

I have a time series $y_t$ and I would like to model it as an ARFIMA (a.k.a. FARIMA) process. If $y_t$ is integrated of (fractional) order $d$, I would like to fractionally-difference it to make it stationary. Question: is the following formula…
Richard Hardy
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Fitting an ARFIMA Model with Covariates in R

In R's arima() function, one can specify a list of covariates while estimating the AR and MA coefficients using the xreg argument. For instance: arima(lh, c(2,0,1), xreg= 1:length(lh)) returns a model with ARMA(2,0) disturbance and the linear…
Carl PCH
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Large differences in ARFIMA parameter $d$ using different estimators

I am trying to estimate parameter $d$ for ARFIMA model using different methods: Hurst, ML, fdSperio, fdGPH and the function arfima which selects the best fit automatically. The results shown are too large in difference, and I wonder why. I attached…
Jason
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Estimation of fractional order of integration in ARFIMA model

I wish to model monthly EUR/USD exchange rate by an ARFIMA($p,d,q$) model. My question is, how to determine the $d$ parameter of this model?
A.Laila
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Why do I get very different results estimating GARCH-M model in EViews and R (rugarch)?

I'm dealing with a GARCH-M model that I've estimated using R and EViews. Here are its mean and variance equations. Mean equation: $$ y_t=\mu + \rho \sigma^2_t + \varepsilon_t $$ Variance equation: $$ \sigma^2_t = \omega + \alpha \varepsilon_{t-1}^2…
Junnan
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fractional undifferencing - forecasting with ARFIMA

Suppose I have a time-series data which I want to apply ARFIMA model to. I want to calculate the parameters automatically, as it is done in auto.arima function. What I figured out so far is to find the order of fractional differentiation d,…
kfurmanska
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ARFIMA model: estimation of confidence intervals of parameters

I want to fit an ARFIMA (or FARMIA) model to a time-series. My problem is that I don't know how to estimate the confidence intervals of the estimated parameters. The sampling distribution seems to be difficult to derive. I could use a Bayesian…
Abhinav Gupta
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Is there a way to undifference a fractionally differenced time series in R

Say I have data d <- .4 series <- 100-0:6 fd_data <- diffseries(series, d) fd_data: 3.000000 0.800000 -0.160000 -0.832000 -1.372800 -1.837056 -2.250394 [How] Is it possible to get back to the original values?
thistleknot
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Multivariate Time Series Analysis Approach

I am facing an issue regarding the overall approach required for multivariate time series forecasting. I am a novice in R and statistics. Suppose I have 3 time series, X, Y and Z, where Z depends on either X alone or Y alone or difference of X and…
Aravind
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How do I test long memory in ARFIMA?

I've been wondering about measuring long-term memory in ARFIMA models - should I use ACF/PACF for it? Or maybe there are some different methods - and then is there anything I didn't know since my first thought was the above tests? Any functions in…
Fatafim
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Fitting an ARFIMA model

A very short question. Am I correct in thinking that when fitting an ARFIMA(p,d,q) model, one first fits an ARFIMA(0,d,0) to estimate $d$ and then fits an ARIMA(p,0,q) on the residuals of the ARFIMA fit to estimate p and q? If p or q in…
s5s
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ARIMA vs ARFIMA (in R)

I got a bit confused for the mathematical definitions of ARIMA and ARFIMA when used them for asset price time series analysis in R. When using the function Arima (e.g. ARIMA(1,1,0)) of the forecast library, I don't have any mean. The fomula I use…
Arg
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Use R forecast::arfima to forecast anti-persistent series

I'm trying to use the R forecast package to forecast an anti-persistent time-series (assumed to be an ARFIMA(0, d, 0) series, with d somewhat negative, e.g. d = -0.25). The forecast::arfima function limits d to be in the range (0, 0.5). I'm…
user268462
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Multistep forecasts in ARFIMA models with Monte-Carlo simulations

I have 3 questions about ARFIMA-* models forecasting. Let's look at standard stationary non-seasonal ARFIMA model representation via coefficients. $$ \left(1 - \sum_{i=1}^p\phi_{i} L\right) \left(1 - L\right)^{d_{frac}}\left(x_{t} - \mu \right) =…
Dmitriy
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Scale parameter in fit.control option from “dccfit” rmgarch function

I'm interested in to know a bit more on what the scale parameter of the dccfit fit.control option is about. Here is the code for the model I am estimating: Specifications: xspec = ugarchspec(mean.model = list(armaOrder = c(1, 0)), variance.model…
Martin
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