ARFIMAAutoregressive Fractionally Integrated Moving Average (econometrics)
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Autoregressive fractional integrated moving average (ARFIMA) was used to determine this effect.
Based on these results, an adjustment was made using ARFIMA for the conditional mean jointly with the GARCH-class models, including the long-memory type for the short-term contracts (F1 and F2).
Lemoine, "Detection of long-range dependence and estimation of fractal exponents through ARFIMA modelling," The British Journal of Mathematical and Statistical Psychology, vol.
Granger (1980) y Granger y Joyeux (1980) demostraron que algunas series de tiempo economicas no estan bien representadas como un proceso estacionario de memoria corta I(0) o como un proceso no estacionario con raiz unitaria I(1), y proponen una clase de procesos intermedios conocidos como procesos autorregresivos y de medias moviles fraccionalmente integrados ARFIMA (p, d, q).
random walk, ARIMA (Autoregressive Integrated Moving Average), ARFIMA (Autoregressive Fractionally Integrated Moving Average), FIGARCH (Fractionally Integrated GARCH), unobserved components models (UCM) and ANNs.
Hence, the model known as autoregressive fractionally integrated moving average (ARFIMA).
They pose a way of dealing with this issue in an ARFIMA framework (see also Lebo and Cassino 2007).