ARFIMA model

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sasha
Posts: 4
Joined: Tue Jul 30, 2013 6:44 am

ARFIMA model

Postby sasha » Thu Aug 08, 2013 7:23 am

hello
I want to compare arima and arfima model in predicting index. in arima model because of static forecast i can compare actual data with the forecasted data. in arfima model after fracdiff and writing the equation,i can do dynamic forecast. how can i compare this with actual data? how can return this dynamic forecast to actual data type.
please answer
best regard.thanks in advance

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