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A new variant of ARFIMA1 Process and its predictive ability


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

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Abstract

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.

Item Type: Article
Uncontrolled Keywords: Forecast evaluation, A new variant of ARFIMA process
Subjects: Q Science > QA Mathematics > QA76 Computer software
Divisions: College of Arts and Sciences
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 08 Dec 2013 08:11
Last Modified: 08 Dec 2013 08:11
URI: http://repo.uum.edu.my/id/eprint/9384

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