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Long-Term Memory Properties in Oil Future Market and Its Fluctuation

机译:石油期货市场的长期记忆特性及其波动

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This article aims to find the long-memory characteristics in oil future market. We have adopted semi-parameter methods, ARFIMA model and FIGARCH model to make empirical analysis on the daily price, daily return rate and its absolute value series. The result shows that long-term memory property do exists in the oil future market especially its fluctuation. In particular, the FIGARCH model shows that the response of the investment risk to the shock is a long-term memory process and its influence may hold in a very long time and its impulse response function decline slowly with a hyperbolic rate.
机译:本文旨在寻找石油期货市场的长期记忆特征。我们采用半参数方法,ARFIMA模型和FIGARCH模型对日价格,日收益率及其绝对值序列进行了实证分析。结果表明,石油期货市场确实存在长期记忆性,尤其是其波动性。特别是,FIGARCH模型显示,投资风险对冲击的响应是一个长期记忆过程,其影响可能会持续很长时间,其冲激响应函数会随着双曲线速率缓慢下降。

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