Based on Long Memory Research of Copper Index Fluctuation with Introducing Positions

摘要：

This paper introduces Co-integration test, Modified model for error, Vector auto-regression, Granger causality test, Impulse response function, and proves the necessity in the process of establishment for models with the sequence of positions. Using of modified R/S methods, we have built up the ARFIMA models, FIGARCH models, ARFIMA-FIGARCH models for the fluctuation of copper index earnings, and have given the analysis of the sequence of earnings r_t, the sequence of fluctuation for earnings |r_t |, the sequence of residual |ε_t |. Furthermore, we can make more precise forecast with the models ARFIMA(0, d_1,0) -FIGARCH(1, d_2,1).

关键词： futures long memory ARFIMA, FIGARCH , ARFIMA-FIGARCH models

作者: YANG Guiyuan LIU Kun

作者单位: School of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu, Anhui,P.R.China, 233030

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 92-101

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）