TITLE

MODELING AND FORECASTING OF OPEC OIL PRICES WITH ARFIMA MODEL

AUTHOR(S)
Mostafaei, H.; Sakhabakhsh, L.
PUB. DATE
January 2011
SOURCE
International Journal of Academic Research;Jan2011, Vol. 3 Issue 1, p817
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The classical approach to modeling economic series is to apply the Box-Jenkins approach of ARMA or ARIMA depending on whether the series is stationary or non-stationary. If such series exhibits long memory property, forecasts values based on ARIMA model may not be reliable. In this paper, we study the long-term memory of OPEC oil prices using detrended fluctuation analysis (DFA) method, establish ARFIMA model for it. The results indicate that the best model is ARFIMA (2,0.34,3) which is used to predict the oil prices in OPEC.
ACCESSION #
59737584

 

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