arma

Hello, I am investigating if the comovement of the green bond market and other markets has changed pre covid-19 and during Covid-19. The plan is to use ARCH/GARCH on the logged returns of the respective marekts to attain their volatility over time. Then I will use dynamic condidional...

Hi, I have a data set which has a treatment variable and some outcome variables which are the result of the treatments on certain markers measured daily. I would like to see if different levels of the treatment resulted in the differences in the outcome variable (there are 4 of these, each...

Checking a variable for I(1) process, when should i use a ADF vs DF test?

To derive the log-likelihood function of an MA(1) we condition on \epsilon_0 . But when deriving the log-likelihood function function for an AR(1) we don't. Why not? Is it just because \epsilon_0 isn't found in the AR(1) equation?

I'm becoming confused by this. Say I have the following model: I know that an AR(1) is covariance stationary if |\phi|<1. I also know that an ARCH(1) is covariance stationary if \alpha_0, \alpha_1>0 and \alpha_1<1 . If those conditions hold does that imply that an AR(1)-ARCH(1) is...

Hello, I have a problem regarding the general understanding of autoregressive (AR) models (and related models, such as MA and AR(I)MA models) which are used to analyze time series. An important assumption in these models is that we have stationarity, which implies that the mean and the...

Below is my data. Only lag 2 is significant in both pacf and acf plot.EACF says it is ARMA(0,2) and I think it can be. However,if it is, aren't there supposed to be tailing off in PACF and significant both 1 and 2 lag. I put some plots and model fitting result below. I am waiting for your...

I have been asked to build an ARMA model for some oil WTI spot prices. I have manipulate the data to make it stationary (taking log-returns), and stationarity has been confirmed by the Augmented Dickey Fuller test and all the other stationarity tests available in EViews. However, when I...

Hello, the following question is about a stationary MA(1) process (Moving Average of Order 1) - see attached image. Epsilon represents white noise, i.i.d. E(epsilon) = 0. Can someone please help me understand the last part of the bottom equation? I do understand the term inside the...

This should be an easy question for expert users here. I am using the function 'arma' in R which appears as following in the documentation: arma(x, order = c(1, 1), lag = NULL, coef = NULL, include.intercept = TRUE, series = NULL, qr.tol = 1e-07, ...) For input 'x' do we...

Hello, My goal is to forecast t-bill/note interest rates to help determine whether it'd be useful to purchase an interest rate swap on a loan (25 year amort. due in 7 years). I have learned ARIMA models, specifically AR[1] models are useful to forecasting rates. Please see attached...