石油价格的ARFIMA模型预测研究  

Forecasting the oil price by ARFIMA model

作　　者：冯春山[1] 吴家春[1] 蒋馥[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《上海理工大学学报》2005年第6期539-542,共4页Journal of University of Shanghai For Science and Technology

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．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.

关 键 词：石油价格 ARFIMA 长记忆 

分 类 号：F764[经济管理—产业经济]