| 石油价格的ARFIMA模型预测研究 |
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| 引用本文： | 冯春山,吴家春,蒋馥.石油价格的ARFIMA模型预测研究[J].上海理工大学学报,2005,27(6):539-542. |
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| 作者姓名： | 冯春山 吴家春 蒋馥 |
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| 作者单位： | 上海交通大学,管理学院,上海,200052;上海交通大学,管理学院,上海,200052;上海交通大学,管理学院,上海,200052 |
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| 摘 要： | 经检验，石油价格波动具有长记忆性，而通常用于定量预测的ARMA模型是不考虑长记忆性的．应用考虑长记忆性的ARFIMA模型对石油价格进行了预测研究，预测结果表明，ARFIMA模型的预测结果要好于不考虑长记忆性的ARMA模型．
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| 关 键 词： | 石油价格 ARFIMA 长记忆 |
| 文章编号： | 1007-6735（2005）04-0539-04 |
| 收稿时间： | 2004-09-25 |
| 修稿时间： | 2004年9月25日 |
Forecasting the oil price by ARFIMA model |
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| FENG Chun-shan,MVU Jia-chun,JIANG Fu.Forecasting the oil price by ARFIMA model[J].Journal of University of Shanghai For Science and Technology,2005,27(6):539-542. |
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| Authors: | FENG Chun-shan MVU Jia-chun JIANG Fu |
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| Institution: | School of Management, Shanghai Jiaotong University, Shanghai 200052, China |
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| Abstract: | The oil price fluctuation has long memory feature. The ARMA model, which is usually used to forecast does not consider feature. In the paper the oil price fluctuation is predicted by ARFIMA model, which takes the long memory feature into consideration. The result shows that ARFIMA model is better than ARMA model. |
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| Keywords: | oil price ARFIMA long memory |
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