ARFIMA model
Posted: 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
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