A fractional ARIMA (ARFIMA) model in the analysis of historical crude oil prices
Date
2023Citation
Monge, M., & Infante, J. (2022). A Fractional ARIMA (ARFIMA) Model in the Analysis of Historical Crude Oil Prices. Energy RESEARCH LETTERS, 4(1). https://doi.org/10.46557/001c.36578
Abstract
We investigate historical data for crude oil prices using autoregressive fractionally
integrated moving average (ARFIMA) models to determine whether shocks in the series
have transitory or permanent effects. Our best specification is an ARFIMA(2,d,2) with an
estimated value of d around 0.4, but its confidence interval is wide and does not allow us
to either reject the I(0) or the I(1) hypotheses. This high level of uncertainty may be due
to the presence of breaks or non-linear trends in the ...
Departamentos
Document type
journal article