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Hi, thanks for the reply. I've attached a copy of the file. _workfile1.xlsx Edit: I was thinking about it and isn't a random walk model more appropriate for a non-stationary series? I tested for stationarity and concluded that my series is stationary as far as using ADF is concerned. I am thinking m...

Hi, thank you for the reply. The following is my original correlogram without the ARMA terms. My original regression was CAPM, so it's just excess returns on stock (y) and excess return on market (x) plus a constant. http://i.imgur.com/I159gZB.jpg When I tried fitting the model I checked for station...

Hi, so I'm trying to fit an ARMA model to describe daily stock returns. 1. If I find that I need an MA(6), do I still have to add MA(1) to MA(5)? Some of them become statistically insignificant as I add more MAs - e.g. MA(2) and MA(3) become insignificant when I add MA(6). 2. Is there something wron...