On Mon, 26 Mar 2012, Daniel Bencik wrote:
> first off, thank you all for suggestions.
>
> Riccardo, I know that anything bigger than arma(2,1) is going to be a crappy
> model. Im forecating volatility and arma is one of the options, the obviously
> sloppy one but nevertheless the benchmark and I
On Mon, 26 Mar 2012, Riccardo (Jack) Lucchetti wrote:
> So you end up with an estimate of the coefficients for the MA
> polynomial whose inverse roots are
>
> -1.2736
>-0.40100 + 0.93150i
>-0.40100 - 0.93150i
> 0.63538 + 0.36511i
> 0.63538 - 0.36511i
Ooof, I really should rea
On Mon, 26 Mar 2012, Riccardo (Jack) Lucchetti wrote:
> Finally, our algorithm does not include, as probably Eviews' does, some form
> of provision for what to do in the case when the MA polynomial has roots
> inside the unit circle
Blast. Unfortunate typo if there ever was one. I meant "your a
El 26/03/12 10:10, Daniel Bencik escribió:
> Hello everybody,
>
> first off, thank you all for suggestions.
>
> Riccardo, I know that anything bigger than arma(2,1) is going to be a
> crappy model. Im forecating volatility and arma is one of the options,
> the obviously sloppy one but nevertheless
On Mon, 26 Mar 2012, Daniel Bencik wrote:
> Hello everybody,
> first off, thank you all for suggestions.
>
> Riccardo, I know that anything bigger than arma(2,1) is going to be a crappy
> model. Im forecating volatility and arma is one of the options, the obviously
> sloppy one but nevertheless
Hello everybody,
first off, thank you all for suggestions.
Riccardo, I know that anything bigger than arma(2,1) is going to be a crappy
model. Im forecating volatility and arma is one of the options, the obviously
sloppy one but nevertheless the benchmark and I can prove nowehere else than on
