How can I detrmine the Coefficients in ARIMA model using econometrics toolbox ?

I used econometrics toolbox for prediction of currency exchange rates using ARIMA model. I haven't used ACF or PACF. p, q, d parameters should be defined by user manually. I have been asked to determine the coefficients for this model which I have no idea about it . Please help me with that.

Answer 1

[Shashank Prasanna]

MMU, If you just want to estimate the coefficients knowing the lag orders thats fairly straight forward, however if you want automatic model order choosing (order of AR and MA), that is currently not available.

For the former:

model = arima(1,0,1); %For 1 lag AR 1 lag MA
fit = estimate(model,Y)

What version of MATLAB are you using? ARIMA is new to 12a, if you are using older you can do the same using the GARCHFIT function,

http://www.mathworks.com/help/econ/garchfit.html