Long-Term Memory Properties in Oil Future Market and Its Fluctuation

Abstract

This article aims to find the long-memory characteristics in oil future market. We have adopted semi-parameter methods, ARFIMA model and FIGARCH model to make empirical analysis on the daily price, daily return rate and its absolute value series. The result shows that long-term memory property do exists in the oil future market especially its fluctuation. In particular, the FIGARCH model shows that the response of the investment risk to the shock is a long-term memory process and its influence may hold in a very long time and its impulse response function decline slowly with a hyperbolic rate.