FIN 740 : Plot the Sample Autocorrelation Function - Sample Partial Autocorrelation Function - Finance Assignment Help

Assignment Task :

2. Use the data ‘x’ you have generated in Q #1. Suppose that you do not know that the data ‘x’ is generated by ARMA(2, 1) simulation. Now, you have to find the best model for the data ‘x’. After looking at ACF and PACF, you decided to try to fit the following models: AR(1), AR(2), MA(1), MA(2), ARMA(1, 1), ARMA(1, 2), ARMA(2, 1), and ARMA(2, 2). 

a)  Fit each model you have decided to run and show AIC and BIC for each model. What model are you going to choose as the best model in terms of AIC and BIC criteria. 

b)  Check the residual ACF of the best model you choose in a) and explain about the plots. Are the residuals white noise or not? 

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