shuijie0926 发表于 2006-6-9 13:09
本人在求解高频数据的波动率时,要用ARFIMA模型进行参数估计,请问各位高手我应该用什么软件,及具体的工具箱,请各位多多帮忙,小妹在此谢过.
First, I thought that ARFIMA(long memory process) process is for
low-
frequency dynamics. And it requires a longer data history.
Second, SAS/IML provides tools.
FARMACOV Call
computes the autocovariance function for an ARFIMA process.
FARMAFIT Call
estimate the parameters of an ARFIMA model
FARMALIK Call
computes the log-likelihood function of an ARFIMA model
FARMASIM Call
generates an ARFIMA process
I used it long times ago. I believe SAS v8 may have bugs. But SAS v7 was right(I used) and I did not follow the v9.