edgetrading
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I've generated the ACF for the returns of some data
For lags roughly 1-12, the ACF is significantly negative.
For lags from around 20 and above, the ACF is significantly positive.
What sort of process should I use to model this? I can't make ARMA models fit it.
For lags roughly 1-12, the ACF is significantly negative.
For lags from around 20 and above, the ACF is significantly positive.
What sort of process should I use to model this? I can't make ARMA models fit it.
