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Forecasting High Frequency Long Memory Series with Long Periods Using the SARFIMA Model

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Figure

Figure 1. Data plots for the artificial series, the 205th to 300th data for n = 300 series (left), the 1005th to 1100th data for n = 1100 series (right)
Table 1. ADF and long memory test results.
Table 2. The average MSEs for forecasting four types of the artificial series.
Figure 3. The plots and the ACF of the SSE 50 Index, January 4th to 31st 2011, 5-minute intervals
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