โ Scribed by Jin Xiu; Yao Jin
No coin nor oath required. For personal study only.
In this paper, we studied the long-term memory of Hong Kong Hang Sheng index using MRS analysis, established ARFIMA model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this means with the one that took first-order differencing as an alternative. The result showed that, if doing so, much useful information of time series would be lost. The forecast formula of ARFIMA model was corrected according to the method of fractional differencing, and was employed in the empirical study. It was illustrated that the forecast performance of ARFIMA model was not as good as we expected since the ARFIMA model was ineffective in forecasting Hang Sheng index. The certainty of this conclusion was proposed from two different aspects.
๐ SIMILAR VOLUMES
The common models of elastic foundations are provided by supposing that they are composed by elastic columns with some interactions between them, such as contact forces that yield a differential equation involving gradients of the displacement field. In this paper, a new model of elastic foundation