مقاربة لا خطية لسيرورة أسعار النفط العالمية باستعمال نموذج MS-ARFIMA للفترة 1986-2016

الملخص EN

This paper aims to study the process of oil crude prices for the period 02 / 01 / 1986 to 17 / 10 / 2016 using both of ARFIMA model for testing the long memory and MSW Markov Switching for nonlinearity estimations, The results show that there is a long memory for the series of oil prices in our period, and the optimum estimate model is MSARFIMA( 2,3,0.17,1).