Question

Explain the significance of the ARIMA model from the perspective of Efficient Market Hypothesis.

Need details, thanks a lot!

Answer 1

Firstly efficient market hypothesis says that asset prices fully reflected all available information.Its impossible to beat the market consistantly on risk adjusted basis when market price only react on new infirmation.

The significance is that this model in efficient market hypothesis is which help to predict future value of serise which entirly on its own inertia.

Another significance is that it helps to suit different standard temporal structure in time serise data.

The efficient market shows correct information of price so it is usefull to predict from this model.

In efficient market risk adjusts in new information so AIRMA model help to predict risk of new information and give mulipale analysis of the dataset.