Mechanics of fitting ARMA models. On the book’s web page you will find data for daily transfers over

Mechanics of fitting ARMA models.

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On the book’s web page you will find data for daily
transfers over BankWire, a financial wire transfer system in a country
responsible for much of the world’s finance, over a recent span of 200 business
days.

a. Is trend or seasonality operative? Defend your answer.

b. Find a parsimonious ARMA(p, q) model that fits well, and
defend its adequacy.

c. Repeat the exercise 14b, this time using only the first
175 days for model selection and fitting. Is it necessarily the case that the
selected ARMA model will remain the same as when all 200 days are used? Does
yours?

d. Use your estimated model to produce point and interval
forecasts for days 176 through 200. Plot them and discuss the forecast pattern.

e. Compare your forecasts to the actual realizations. Do the
forecasts perform well? Why or why not?

f. Discuss precisely how your software constructs point and
interval forecasts. It should certainly match our discussion in spirit, but it
may differ in some of the details. Are you uncomfortable with any of the
assumptions made? How, if at all, could the forecasts be improved?