A Fractional ARIMA (ARFIMA) Model in the Analysis of Historical Crude Oil Prices.

Thumbnail Image
36578-a-fractional-arima-arfima-model-in-the-analysis-of-historical-crude-oil-prices.pdf (197.34 KB)
Identifiers
URI: https://hdl.handle.net/10641/4196
ISSN: 2652-6433
DOI: 10.46557/001c.36578

Publication date

2023

Start date of the public exhibition period

End date of the public exhibition period

Authors

Advisors

Journal Title

Journal ISSN

Volume Title

Publisher

Metrics
Google Scholar
Share
Export

Research Projects

Organizational Units

Journal Issue

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 data.

Doctoral program

Description

Keywords

Citation

Collections

FACULTAD DE DERECHO, EMPRESA Y GOBIERNO