A Fractional ARIMA (ARFIMA) Model in the Analysis of Historical Crude Oil Prices

Manuel Monge and Juan Infante ()
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Juan Infante: Economics, Universidad Francisco de Vitoria, Spain

Energy RESEARCH LETTERS, 2023, vol. 4, issue 1, 1-3

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.

Keywords: Crude oil prices; Fractional integration; persistence (search for similar items in EconPapers)
JEL-codes: C00 C22 E30 Q40 (search for similar items in EconPapers)
Date: 2023
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