Journal of Probability and Statistics / 2020 / Article / Tab 4

Research Article

Forecasting of Global Market Prices of Major Financial Instruments

Table 4

Parameters estimation ML method for ARIMA models.

VariableModelParameterSE

ADARIMA (0,1,1)Θ1 −0.03110.0417

CARIMA (0,1,1)Θ1 −0.00540.0394

CLARIMA (0,1,2)Θ1 −0.02630.0409
Θ2 −0.12980.0406

ESARIMA (1,1,1)Φ1 0.66460.1718
Θ1 −0.72430.1566

FCARIMA (0,1,1)Θ1 0.08300.0427

GCARIMA (0,1,1)Θ1 −0.01380.0388

KCARIMA (1,1,1)Φ1 0.36610.7755
Θ1 −0.35400.7865

USARIMA (0,1,1)Θ1 −0.04300.0402

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