On the book's web page, you will find data for daily transfers over BankWire, a wire transfer system in a country responsible for much of the world's finance, over a recent span of 200 business days.
a. ?Find a parsimonious ARMA (p,q) model that fits the transfer data well and defend its adequacy. ?Use 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 are used? ?Does yours?
b. ?Use your estimated model to produce point and interval forecasts for days 176 through 200. Plot them and discuss your forecast pattern.
c. Compare your forecasts with the actual realizations. ?Do the forecasts perform well? Why or why not?
d. 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?
Find a parsimonious ARMA (p,q) model that fits the transfer data well and defend its adequacy. Use only the first 175
days for model selection and fitting. Is it necessarily the case that the...
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