Hey I am writing thesis on time series, but the ARMA model that I created seems doesn't work perfectly. For example I got an ARMA(1,1) model for Nikkei 225, however when I test the model errors, it still have auto-correlation for the 1st lag.
Does anyone know how to solve the problem of errors autocorrelation in ARMA model? What is the fastest way to find the best fit ARMA model?
Thanks a lot!
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