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ARFIMA fitting in MATLAB
Greetings,Does anyone have a MATLAB code to fit an ARFIMA process to a given time series? Any help would be much appreciated. Thanks.Basically I need to find the most appropriate model to fit a process with long memory, so I guess ARFIMA would do it, just that I don't have the code, and the GARCH toolbox in MATLAB can't do it either...Pls email any code to crosswind@gmail.comThanks in advance! XW
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- matthewcroberts
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ARFIMA fitting in MATLAB
XW,I have FIGARCH code in my matlab garch toolbox, which you are welcome to modify, if you'd like. Email me at matthewcroberts@gmail.com and I'll send you a copy. But the gold standard of longmemory estimation seems to be Ox. It has excellent ARFIMA and FIGARCH modules.Matt.