Nội dung được dịch bởi AI, chỉ mang tính chất tham khảo
Khám Phá Quy Trình Bộ Nhớ Dài Trong Dự Đoán Chuỗi Thời Gian Tài Chính Giá Trị Khoảng và Ứng Dụng Của Nó
Tóm tắt
Quy trình bộ nhớ dài đã được nghiên cứu rộng rãi trong phân tích chuỗi thời gian tài chính cổ điển, nhưng chỉ mới được báo cáo trong lĩnh vực chuỗi thời gian tài chính giá trị khoảng. Mục tiêu của bài báo này là khám phá quy trình bộ nhớ dài trong việc dự đoán chuỗi thời gian có giá trị khoảng (IvTS). Để mô hình hóa quy trình bộ nhớ dài, hai mô hình dự đoán chuỗi thời gian giá trị khoảng mới được xây dựng, mang tên mô hình bình phương tự hồi quy phân kỳ tích lũy có giá trị khoảng (IV-VARFIMA) và ARFIMAX-FIGARCH. Trong mẫu quy trình bộ nhớ dài đã phát triển, cả hai ảnh hưởng ngắn hạn và dài hạn có trong IvTS đều có thể được bao gồm. Như một ứng dụng của các mô hình đề xuất, dạng giá trị khoảng của chuỗi giá tương lai dầu thô WTI được dự đoán. So với các mô hình dự đoán IvTS hiện tại, IV-VARFIMA và ARFIMAX-FIGARCH có thể cung cấp những dự đoán tốt hơn cả trong mẫu và ngoài mẫu.
Từ khóa
#quy trình bộ nhớ dài #chuỗi thời gian tài chính #mô hình dự đoán #giá trị khoảng #IV-VARFIMA #ARFIMAX-FIGARCHTài liệu tham khảo
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