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Asian Journal of Probability and Statistics
This study investigates the dynamics of commercial banks’ maximum lending rates in Nigeria using short-memory ARIMA and long-memory models such as ARFIMA and the FIGARCH models. The data for the study spanned from January 1997 to May 2024.
G. L. Tuaneh +2 more
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This study investigates the dynamics of commercial banks’ maximum lending rates in Nigeria using short-memory ARIMA and long-memory models such as ARFIMA and the FIGARCH models. The data for the study spanned from January 1997 to May 2024.
G. L. Tuaneh +2 more
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Research Review: Jurnal Ilmiah Multidisiplin
This study aims to compare the effectiveness of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model and the Autoregressive Integrated Moving Average–Feedforward Neural Network (ARIMA-FFNN) hybrid model in forecasting the stock price ...
Afandi W. Biga, Isran K. Hasan, Nurwan
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This study aims to compare the effectiveness of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model and the Autoregressive Integrated Moving Average–Feedforward Neural Network (ARIMA-FFNN) hybrid model in forecasting the stock price ...
Afandi W. Biga, Isran K. Hasan, Nurwan
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Bayesian prediction for vector ARFIMA processes
International Journal of Forecasting, 2002Abstract We provide explicit formulae for the joint predictive distribution of a Gaussian vector autoregressive fractionally integrated moving average (VARFIMA) process and describe a Bayesian method for its feasible evaluation. Inference for the parameters in the Bayesian framework is based on the joint posterior distribution of the model parameters
Nalini Ravishanker, Bonnie K. Ray
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Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi
The Composite Stock Price Index (IHSG) is a of the key indicator a country uses to assess its economic condition. The fluctuating movements of stock prices create uncertainly in the stock market, complicating decision-making for investors and government ...
Rayhanul Jannah Buhungo +2 more
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The Composite Stock Price Index (IHSG) is a of the key indicator a country uses to assess its economic condition. The fluctuating movements of stock prices create uncertainly in the stock market, complicating decision-making for investors and government ...
Rayhanul Jannah Buhungo +2 more
semanticscholar +1 more source
Arfima-Figarch vs. Arfima-Hygarch: Case Study ETF Returns of Emerging Asian Countries
Asian Journal of Finance & Accounting, 2014This research investigate the long memory returns for ETF returns index of seven Asian countries in Emerging Markets Equities during 2008-2013 periods. Those ETFs are Wisdom Tree Indian Rupee Fund (ICN), Market Vectors Indonesia Index (IDX), iShares MSCI Malaysia Index Fund (EWM), Market Vectors Russia ETF (RSX), and iShares MSCI Thailand Investable ...
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Bayesian model selection in ARFIMA models
Expert Systems with Applications, 2010Various model selection criteria such as Akaike information criterion (AIC; Akaike, 1973), Bayesian information criterion (BIC; Akaike, 1979) and Hannan-Quinn criterion (HQC; Hannan, 1980) are used for model specification in autoregressive fractional integrated moving average (ARFIMA) models. Classical model selection criteria require to calculate both
Eǧrïoǧlu, Erol, Günay, Süleyman
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Indirect Inference for ARFIMA Processes
IFAC Proceedings Volumes, 1998Abstract Inference for ARFIMA processes is more complicated than that for ordinary ARMA models. This has limited the application of these processes in the practice of modelling economic time series. In this paper, a procedure of indirect estimation for fractionally integrated processes is proposed and discussed.
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Parametric estimation for ARFIMA models via spectral methods
Statistical Methods & Applications, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
COLI, Mauro +2 more
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Preliminary estimation of ARFIMA models
2000In this article we propose a preliminary estimator for the parameters of an ARFIMA(p,d,q) model. The estimation procedure is based on the search of the element in the class of ARFIMA models closest to the estimated ARMA model which best fits the observed time series.
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A permanent-transitory decomposition for ARFIMA processes
Journal of Statistical Planning and Inference, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ariño, Miguel A., Marmol, Francesc
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