Template-Type: ReDIF-Article 1.0 
Author-Name: Manuel Monge
Author-Name: Juan Infante
Author-Email:  manuel.monge@ufv.es
Author-Workplace-Name:  Economics, Universidad Francisco de Vitoria, Spain
Title: A Fractional ARIMA (ARFIMA) Model in the Analysis of Historical Crude Oil Prices
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.
Classification-JEL:  C00 ,C22 ,E30 ,Q40
Keywords:  Crude oil prices, Fractional integration, persistence
Journal:  Energy RESEARCH LETTERS
Pages: 1-3
Volume: 4
Issue: 1
Year:  2023
DOI:  2023/03/14
File-URL:  https://erl.scholasticahq.com/api/v1/articles/36578-a-fractional-arima-arfima-model-in-the-analysis-of-historical-crude-oil-prices.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnerl:75