Influence of some ARFIMA model parameters on the accuracy of financial time series forecasting

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2021-01-01 DOI:10.22394/1993-7601-2021-62-85-100

R. Garafutdinov

引用次数: 0

Abstract

The influence of ARFIMA model parameters on the accuracy of financial time series forecasting on the example of artificially generated long memory series and daily log returns of RTS index is investigated. The investigated parameters are deviation of the integration order value from its «true» value, as well as the memory «length» considered by the model. Based on the research results, some practical recommendations for modeling using ARFIMA have been formulated.

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ARFIMA模型参数对金融时间序列预测精度的影响

以人工长记忆序列和RTS指数日对数回报为例，研究了ARFIMA模型参数对金融时间序列预测精度的影响。研究的参数是积分顺序值与其“真实”值的偏差，以及模型考虑的内存“长度”。在此基础上，提出了一些实用的ARFIMA建模建议。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.