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Old 02-09-2011, 09:32 PM
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Originally Posted by Saima View Post
Hi oxymoron
I use the same code in Matlab with the Nifty.mat data. it gave me this message
"clear LBTestH VarianceMatrix IMatrix MaxAR MaxMA MaxI AIC AR MA Input RowNumber StationaryInput;"

Hmm, not sure what the error is, but this is the last line of the code. Can you post a screenshot of the error please?

Originally Posted by Saima View Post
what should I do next so that it can give me the valus of p,n and q
also if I run the same code again and again would it give me the same ARIMA parameters or will gave other ARIMA models, as for one dataset one may have more than one ARIMA models.
Thanks

This code does an iteration of 1:10 AR to 1:10 MA to arrive at the best combination (the one with the lowest AIC). If you want a specific model, you can directly use the garchfit function:
Code:
spec = garchset('R', AR, 'M', MA, 'P', 0, 'Q', 0);
[Coeff,~,LLF,~,~,~] = garchfit(spec,'Enter Data Series Here');
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arima, arima automation, hamilton, matlab, monte carlo simulation, time series analysis

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