A new variant of ARFIMA1 Process and its predictive ability
ARFIMA models generated an enormous amount of interest in the literature about three decades ago.However, this interest vaned after Granger (1999) showed that an ARFIMA process might have stochastic properties that do not mimic the properties of the data at all.The empirical results of our research...
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2008
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my.uum.repo.93842013-12-08T08:11:27Z http://repo.uum.edu.my/9384/ A new variant of ARFIMA1 Process and its predictive ability Yip, Chee Yin Quah, Soon Hoe QA76 Computer software ARFIMA models generated an enormous amount of interest in the literature about three decades ago.However, this interest vaned after Granger (1999) showed that an ARFIMA process might have stochastic properties that do not mimic the properties of the data at all.The empirical results of our research in which we used exchange rate data for the analysis, show that a variant of an ARFIMA process indeed can beat the ARFIMA, the Random Walk and the ARMA process of the order one in out of sample forecasting.This indirectly indicates that our variant of the ARFIMA process can be considered as the data generating process for the long memory time series. Canadian Center of Science and Education 2008-03 Article PeerReviewed application/pdf en http://repo.uum.edu.my/9384/1/2.pdf Yip, Chee Yin and Quah, Soon Hoe (2008) A new variant of ARFIMA1 Process and its predictive ability. Modern Applied Science, 2 (2). pp. 142-159. ISSN 1913-1852 http://www.ccsenet.org/journal/index.php/mas |
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ARFIMA models generated an enormous amount of interest in the literature about three decades ago.However, this interest vaned after Granger (1999) showed that an ARFIMA
process might have stochastic properties that do not mimic the properties of the data at all.The empirical results of our research in which we used exchange rate data for the analysis, show that a variant of an ARFIMA process indeed can beat the ARFIMA, the Random Walk and the ARMA process of the order one in out of sample forecasting.This indirectly indicates that our variant of the ARFIMA process
can be considered as the data generating process for the long memory time series. |
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Article |
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Yip, Chee Yin Quah, Soon Hoe |
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Yip, Chee Yin Quah, Soon Hoe |
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Yip, Chee Yin |
title |
A new variant of ARFIMA1 Process and its predictive ability |
title_short |
A new variant of ARFIMA1 Process and its predictive ability |
title_full |
A new variant of ARFIMA1 Process and its predictive ability |
title_fullStr |
A new variant of ARFIMA1 Process and its predictive ability |
title_full_unstemmed |
A new variant of ARFIMA1 Process and its predictive ability |
title_sort |
new variant of arfima1 process and its predictive ability |
publisher |
Canadian Center of Science and Education |
publishDate |
2008 |
url |
http://repo.uum.edu.my/9384/1/2.pdf http://repo.uum.edu.my/9384/ http://www.ccsenet.org/journal/index.php/mas |
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13.18916 |