Question: Construct the best ARMA model based on the rst 1193 daily log return data using the auto.arima function in the fpp package. This function will
Construct the best ARMA model based on the rst 1193 daily log return data using the auto.arima function in the fpp package. This function will automatically select the best orders (namely p, d, and q in the arima model) for you. We call this model 1. We will then x the order of the arima model, and at each step, only parameter estimation changes. Use this model to predict one day ahead. Compare the predicted direction (namely if the prediction return is positive or negative) with the direction of the actual return. Were you right? For the next day re-estimate the parameters using data 2 to 1194 and predict the next day's direction. Repeat until the test data is exhausted. Report the probability of being correct
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