AR figures for different periods

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hmurphy94
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Joined: Tue Aug 08, 2017 10:28 am

AR figures for different periods

Postby hmurphy94 » Wed Aug 30, 2017 4:46 am

hi

i used the automatic arima forecast to determine the order of AR in my series in order to put an equation into a garch model.

i am testing the day of the week effect and using 'p' lagged variables, do i also need to include the MA terms?

also, i am testing over different periods, do i need to do a separate arima forecast for returns on each period? or will the AR figure that i get when forecasting over the entire period be fine?

thanks!

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