The Existence of Long Memory Property in OPEC Oil Prices
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Keywords

Long memory, Fractional difference, Time series, OPEC, Oil prices, R/S test, MRS test, GPH test.

Abstract

The global oil market is considered as the most important energy market of the world. Oil price volatilities can have considerable effects on the structure of oil market and the economy of petroleum exporting and importing countries, especially OPEC member countries as the largest entity that is consisted of 12 oil exporting developing nations. Therefore, the predictability of the oil prices is of great importance for OPEC member countries. One of the appropriate methods that can be used in forecasting the oil price volatilities is to investigate the existence of long memory property in the oil price time series. The purpose of current study was to investigate and interpret the long memory property in OPEC daily oil prices time series for the period from 2011/03/15 to 2014/04/22 using R/S, MRS and GPH tests to estimate fractional differencing parameter. The results of study confirmed the existence of long memory property in time series of OPEC oil prices. Therefore, the long memory property can be utilized in modelling and forecasting the volatilities of OPEC oil prices.

https://doi.org/10.18488/journal.8/2016.4.3/8.3.142.152
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