| 林雨，孔刘柳①，刘培②.基于ARFIMA模型的黄金价格预测[J].,2010,11(1):36-38 |
| 基于ARFIMA模型的黄金价格预测 |
| The Gold Price Forecasts Based on the ARFIMA Model |
| 投稿时间：2010-01-07 |
| DOI： |
| 中文关键词: 长期记忆性 分整自回归滑动平均模型 预测 |
| English Keywords:long-term memory fractional integration for Autoregressive Integrated Moving Average predict |
| Fund Project: |
|
| 摘要点击次数: 679 |
| 全文下载次数: 2460 |
| 中文摘要: |
| 研究发现上海黄金交易所黄金收益序列有长期记忆性，进而从另外一个角度证实了上海黄金市场尚未达到弱式有效的结论。应用ARFIMA模型对黄金收益序列进行预测，并与用于定量预测的ARMA模型对比，结果表明分整的ARFIMA模型提高了黄金收益序列长期预测的可靠性。 |
| English Summary: |
| Research has found that gold return series of Shanghai Gold Exchange has a long-term memory, and from another point of view confirms the conclusion that Shanghai Gold market has not reached weak effectiveness. Compared with the ARMA model which is used for quantitative forecasting and taking the ARFIMA model to predict the gold return series，the outcome shows that the ARFIMA model increases the reliability of long-term prediction for gold return series. |
| 查看全文 查看/发表评论 下载PDF阅读器 |
|
| 关闭 |