Forecasting the oil price by ARFIMA model
Fu Jiang · Journal of the University of Shanghai for Science and Technology · 2005
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.