Issue with Simple ARIMA model - multivariate

stephendonnelly

Hi everybody,

I'm very new to JMP and have had some success with basic tasks but am struggling with AR modelling.

Specifically I'm hoping to perform a H(heterogenous)AR model but I'm not sure the capability exists.

Long story short, I'm building a realised volatility model of oil price. The literature suggests you create the model something along the lines of: RV = a + bRV(5) + bRV(10) + bRV(22) + e. The different betas represent realised volatilities over different time horizons, i.e. 5 days.

I build the time series ARIMA (1,1,1) model with RV as the y and the other three RV's as the x's. However the output I get is 4 individual models, rather than one complete model with all my parameters.

I'm trying to replicate the process that my lecturer did within R but so far I'm struggling and 4 individual outputs doesn't provide me with anything useful. I've just started my new job and they would like me to produce this model.

Do you have any ideas?

If you need any further information I'm more than happy to supply it.

Thanks in advance,

Stephen

P.S.   Is there anyway to increase the amount of observations JMP will process? My data is 5 minutely and overwhelms JMP. I've just sliced off a sample to perform the modelling in the mean time.

Jeff_Perkinson

Hi Stephen,

Can you provide some more details about what you've done and what output you got?

Are you using the Time Series platform? When you say that you used "the other three RV's as the x's," which role in the dialog did you put them in?

If you put them in the Input List in the Time Series launch dialog you will initially see each of the variables (Y and Input List) in the report. This gives you the opportunity examine each column individually and determine the best time series model for each series.

Then you can use that information when you choose Transfer function from the red triangle menu at the top of the report.

This will give you a dialog where you can specify the transfer function model.

Here's an example of what the output from a Transfer Function Model looks like.

I hope that helps.

-Jeff