| Autor: |
Rosmanjawati Abdul Rahman, Sanusi Alhaji Jibrin |
| Rok vydání: |
2019 |
| Předmět: |
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| Zdroj: |
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES AND TECHNOLOGY 2018 (MATHTECH2018): Innovative Technologies for Mathematics & Mathematics for Technological Innovation. |
| ISSN: |
0094-243X |
| DOI: |
10.1063/1.5136393 |
| Popis: |
This paper proposes a fractional filter and Auto Regressive Fractional Unit Root Integral Moving Average (ARFURIMA) model on daily Malaysian Tapis Crude Oil Price (MTCOP) for the period 4th June 2007 to 29th June 2018. The goodness of fits and dependence tests of each model are discussed. Results indicate that ARFURIMA model is superior to the Auto Regressive Integral Moving Average (ARIMA) and Auto Regressive Fractional Integral Moving Average (ARFIMA) models in modelling and forecasting the Tapis Crude Oil Price. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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