FORECASTING PERSIAN GULF F.O.B. PRICES OF GASOLINE USING ARIMA AND ARFIMA MODELS

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AMADEH HAMID; EFATI BARAN FARSHID; AMINI AMIN

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Journal: Financial Economics Year:2014 | Volume:8 | Issue:29 Page(s): 115-130

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Information Journal Paper

Title

FORECASTING PERSIAN GULF F.O.B. PRICES OF GASOLINE USING ARIMA AND ARFIMA MODELS

Author(s)

AMADEH HAMID | EFATI BARAN FARSHID | AMINI AMIN | Issue Writer Certificate

Keywords

FORECASTINGQ2

GASOLINEQ2

PERSIAN GULF F.O.B.Q2

ARIMAQ2

ARFIMAQ2

Abstract

Analyzing time series is a usual way of FORECASTING various prices.Some of the Analyzing methods are Autoregressive Integrated Moving Average (ARIMA) and Autoregressive Integrated Fractionally Moving Average (ARFIMA). This paper used ARIMA for FORECASTING weekly GASOLINE prices. Also the behavior of ARIMA and ARFIMA models has been compared. So for fitting the models we used Stata12 and time series data of PERSIAN GULF F.O.B. from first of the year 2009 until 26th week of the year 2012. These data are extracted weekly from OPEC website. The results showed ARFIMA (6, .22, 6) has less error in comparison to ARIMA (1, 1, 0), so ARFIMA is better for FORECASTING the prices.

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APA: Copy

AMADEH, HAMID, EFATI BARAN, FARSHID, & AMINI, AMIN. (2014). FORECASTING PERSIAN GULF F.O.B. PRICES OF GASOLINE USING ARIMA AND ARFIMA MODELS. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 8(29), 115-130. SID. https://sid.ir/paper/229026/en

Vancouver: Copy

AMADEH HAMID, EFATI BARAN FARSHID, AMINI AMIN. FORECASTING PERSIAN GULF F.O.B. PRICES OF GASOLINE USING ARIMA AND ARFIMA MODELS. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2014;8(29):115-130. Available from: https://sid.ir/paper/229026/en

IEEE: Copy

HAMID AMADEH, FARSHID EFATI BARAN, and AMIN AMINI, “FORECASTING PERSIAN GULF F.O.B. PRICES OF GASOLINE USING ARIMA AND ARFIMA MODELS,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 8, no. 29, pp. 115–130, 2014, [Online]. Available: https://sid.ir/paper/229026/en

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