Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev
and MA orders of the ARIMA model) of each of the four classes
of models during an in-sample period, 1987 through 1991 … the results from forecasts with an ARIMA model, a long-memory ARIMA model, a GARCH(1,1)
model, and the OLS model …, highly skewed, and kurtotic, the ARIMA model was
estimated and simulated on a modified logarithmic transformation of the …
