Seasonal ARMA/ARIMA models
1 view (last 30 days)
I am looking for a way to add a seasonal factor in an ARIMA model. For example after looking at the ACF of a return time series which clearly indicates high autocorrelation at equidistant lags(e.g every 12 lags for monthly time series which indicates a yearly seasonal effect).
I looked at the help but couldn't find anything on this. Any suggestions?