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| Tekijä: | Ellis, C. Wilson, P. |
| Otsikko: | Another look at the forecast performance of ARFIMA models |
| Lehti: | International Review of Financial Analysis
2004 : VOL. 13:1, p. 63-81 |
| Asiasana: | Forecasting Simulation Time series Models |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the out-of-sample forecast performance of the autoregressive fractionally integrated moving average [ARFIMA (0,d,0)] specification. Forecast performance is measured relative to simple deterministic models and a random walk model, for forecast horizons up to 100 periods ahead. Overall, the linear models tend to outperform the ARFIMA specification for both the positive and negative values of d for the simulated series, and for positive d values from the real time-series data. The results of the study question the use of the ARFIMA specification as a forecast tool. |
SCIMA