Table 3.
Results of long memory tests.
Data analyzed | Sample size (weeks) | Model Selected | d | Std. Error | Interval | I(d) |
---|---|---|---|---|---|---|
Long memory test | ||||||
Heavy Fuel Oil | 120 | ARFIMA (2, d, 2) | 0.79 | 0.1050238 | [0.62, 0.96] | I(d) |
Bloomberg Commodity Index | 120 | ARFIMA (2, d, 2) | 0.96 | 0.1186170 | [0.76, 1.16] | I(1) |
Baltic Dry Index | 120 | ARFIMA (2, d, 1) | 0.53 | 0.283567 | [-0.11, 1.17] | I(0), I(1) |
Harpex Shipping Index | 120 | ARFIMA (1, d, 1) | 1.47 | 0.0441022 | [1.40, 1.54] | I(d > 1) |
Shanghai Shipping Exchange Containerized Freight Index | 120 | ARFIMA (2, d, 2) | 1.42 | 0.1203744 | [1.22, 1.62] | I(d > 1) |