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I am estimating d in ARFIMA using fdGPH of fracdiff package in R. I am using both absolute return and squared return of exchange rate series.

My question is while estimating d using absolute return, i am finding negative value whereas with squared return, i am finding positive value.

I can't understand how to interpret the same?

Please help.

Thanks

I am facing problem in interpreting the negative value (for absolute return) and positive value (for squared return) of d in different bandwidth.

manik
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  • If you have an R programming problem, please post your data and your code so your post is [reproducible](https://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example). If you have an interpretation question, you should post on [CrossValidated](https://stats.stackexchange.com/), not StackOverflow. – jrcalabrese Feb 09 '23 at 18:22

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