Estimating and forecasting the long-memory parameter in the presence of periodicity

Article Abstract:

The Autoregressive Fractionally Integrated Moving Average (ARFIMA) process, a mathematical model which was first introduced in the 1980s, features a long-memory characteristic that is reflected by the hyperbolic delay of its autocorrelation function. The study focuses on modeling long-memory processes with periodicity using Seasonal Autoregressive Fractionally Integrated Moving Average (SARFIMA) processes, which can be used for different seasonal periods.

Science & research, Research, Mathematical models, Report

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Forecasting volatility

Article Abstract:

The loopholes of several forecasting models and measures for controlling these are presented.

Models, Evaluation, Economic conditions, Economic forecasting

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