Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=54179#.VPAofSzQrzE Author(s) Handong Li , Xunyu Ye Affiliation(s) School of Government, Beijing Normal University, Beijing, China . ABSTRACT This paper evaluates the efficiency of the SARFIMA model at forecasting high-frequency long memory series with especially long periods. Three other models, the ARFIMA, ARMA and PAR models, are also included to compare their forecasting performances with that of the SARFIMA model. For the artificial SARFIMA series, if the correct parameters are used for estimating and forecasting, the model performs as well as the other three models. However, if the parameters obtained by the WHI estim...
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