.
$ %& 
% # !" 


!  ( # '    

HAMAD A. AL-GHANNAM
Associate Prof.- Department of Economics
College of Administrative Sciences- King Saud University

Abstract

This paper aimes to study and investigate the time series of inflation in
Saudi Arabia covering the period from February 1980 to September
2004, in order to identify the change pattern of inflation rate and then
to build a model for forecasting in short run. The statistical time
series stationarity tests such as ADF test and the autocorrelation
function show that the inflation rate is stationary since the inflation
rate is calculated as a difference of the CPI in log form. The BoxJenkins methodology has been applied on selected models using some
statistical tests such as the stationarity tests of the residuals and the
Akaike and Schwarz criterions and the forecast errors to choose the
right model.
The results show that the appropriate model is an ARMA (13,33)
model which may imply some kind of seasonality.

-1-

) * 
 
     

 
     
% &' ! $ (2004    1980   ! "#
 $ 
% %  0 1 
/ /+ ) *+ , !   - . 
/
7+ *&   8+ 0
 9+2: 5+3+ +6+ .20 &3
 .+6  78+ $ 

(ADF)

<    + , 



 ! 

=% +>
 3 ?# @+' 
/ A+  A3 ! +   !' !
"%/ %
/

(Box-Jenkins)

(ACF)

 & @  & ?.  , .!

 +3 +0

+% , 53 ) +6 9+2: + B + $ "+ )+
!' %% ! D .1 C.

(Schwarz) (Akaike)

+ ?. = ! 

.% % 6 ! <& )   

 7++ 5+ )%
+    +  
/ !,8, 8, " / 8, 1.+ 7  $
. "    
/  7,C B &

-2-

+ I
= ! +6 + / = .
 +2=6 7- ' !  
$%   +2=6 7- B 
/ E+,F  7 '   !,+
!,+% B J = .I +,6 
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!   7   2+ +& +,F + !  = 0  76 !'
J% %, ! +,6 K+3 "+ ++ G+ "+ 
/  !' !  
$%  8 +&: ,3  !M +N =  D2 +/ "  !  (L
 7+ !+. ++ 72=+ = 9  = !' + ' !
 $ +/
,1% +%  # &+:  D2  !,
 + $  (&'
%,3 %6 !9 
/ 
 +,O   +:+  .)+: K+3 
/ +N 

% +2= 
  ! & +2=6 
/ 
 +,O E .&+: 

!+ ! 0 + 7++ 8 ! $ ++,F ! # +&8/  7+ 
 P0  
, +2=6 +
  +  B 7++ E 5+2 "+ 
( [1] % J% B# ! 9# +& +  L J 
 G+
.[2]
%9 %3 !%   B# 7+, J 
/ L + 72'
   2
 " 7+..   $ B < + .  $

2+ * +2=6 7 5= $ .0 +++  ' + &' ! 
 2 +C !  70 + &' ! $ 5= !/ +3 70 + '
$   0 1 '  $ &' ! + + 7+6  
/'
%  $% E% = !   D2 1 &' ! ?= )  
  0 ", 7+ 7/ ?
.  ! .7++ E  7+1
.[7] ([6] ( [5] ( [4] ( [3] :+,  
/ L 1
 + 9+2: 5+3+
?%3 7++%2= %  1  7+ !   / &
!% N% N*&  7 7+ 7
 = .0 7++2=6  + 9 +
%
/ 5+-   7+ E .  22 +2=6 7+ 7+'

-3-

 ! 9+2: 7+=8  / + !' +


+% "%L [8]
7+%6 !/ [9]

(Stock and Watson)

(Brove and Fisher)

"Philips Curve"

% . .

 +2=6 7 1 B

 . $ ( <= 0

 ++0 "

$+% ( <= 7++ 8

N 
 " 
 !/ [10]
(Aisen and

@
 

(Clementsm)

% %, % ! /& ' "  *

 "

% ", 7+

IMF

% %8 .0 7++ <&   ! /& 7.>  [11]

Veiga)

.(Panal data)
%0 1% %&3   9+2: 5+3 B 7+ E 7 =
L .1 
/ "0  #
 9+2: 5+3 E ! +0 &3 ' 
$% .%  .+6 ) & + 1 7 7+ E
% 7%  (+%, %%% 
 .J' 9+2 5+' < ' E
%+ $%

ARIMA

) + 1  "0 ! 

/ [4]

% ?. B +0  [12]

(Bos, et al)

(ARIMA)

(Meyler, et al.)

 7  .'   !/ 7++

)+% B% ?#  7' ." 7+6  5  + + 1
% %  . "# @# 1 
/ "0  )+ ! +L 
/
K+% &' !

ARIMA

)

VAR

ARIMA

 6 & )   [7]

(Valle)

%  +:+ ( ! !   2

 +L8 -  +3 7-
)% 
/

ARIMA

) + 1 ?#  7' = . 0 1

%  .CPI !
% +'  1    7- + 2  7# 
%0 1% 
ARIMA

%,

ARIMA

)+  9 [13]

(Hubrich)

D (+  

) +  0 1

 0 G9+ 7+ B 7' (

Leading Indicator Model

(Bokil and

[16]

VAR

VAR

0 7 1 ) '

VAR

, J' )+ +0

% $%  +% % %

/ %0. [14]

(Bermingham)

(Moser, et al)

% 7%& +% .!+ + 

/ 0. [15]

%&3 % % 0 *   3 

ARIMA

%

Schimnelpfening)

0. !' ' 

/ 0.

.J3 #
 ?.+ +0   7++
 20

-4-

9+%2: P9+%2 %

  [17]

(Krkoska and Teksoz)

 7  N'

%' % UV % $ +/: *+ "+/: 3 $

 T <= 

 
/ " >  $ 7+= !' G9+ 7' (UZZV  WXXY "#

.  7++
 1

ARIMA

) "= 7L' $ 

J% % 0 ! 7 +  0   

 
/ 7
!%  !  .   [+# ++2 7 
/ 7 + +\ +
. ! +/ 7+   
 + 7 !+'
% +% P0 $+ !+ 8 7+ ! +, 2  3 "# 
+ N !+   ?+#: !'   +:+  7 720 ++  )+
% %2 % + 2  P0 "# E 8 . B=8   .'
N% +3   !+ WXV` +/   .^._V ! 6
N  6 +0 + ].UV
+%
 2   72'   !' + 
  &3 7& 7#
< % 9+% 
 B "+  "# $
   & D& + ([18] 6
.+
/ 5
.  2=   ?+#: "+ !/ &+ 0 
"%# E% 7 0 (8 7+ 2  7,  +, "# +'

/ 
 5
.  "+ 5 + +3  7+
. 5   ?+#: "+
% "+ 
/ /+ + 7+ <

 
 B  2= +0  7+ <

% 
/ 7= $ 9+ +  ,C <& + .7+ <
 $
 +'
%,' $+% !C 7'  [19]

(Keran and Almalik)

 $ 7,' +  

"%# 8   

    
/ + +3 7- 
.WX__  WX]Y
" & .. +2=6 " +N + + + 7*+2: 
2 0
!% 7  +  ."3 "# # .  #
 +0 = G+ . &' !
% +% (

 : ?.+ <& 
+   / 7 ! +& D2 "&
7+% <
 / +& D2 +' 
/ *a + 7+ <
 ! "& / 5
!+%, %
/ %/ % 
%

406

  +  +0 = 5   


: 9 7+/&

-5-

%. %+/ +%

='

(%32.51)

.7+  .3

.E+ = +&: 

.3 @8  =3

. ,C

.. +/

.76+26 0

.D 


.J3 7+ <



7+  .3 +, ' #

 !C $
.[20]

(%1.26)



   
    
     
& + 20 J  1 
/ /+ ) *+ &' ! $  
$% .% % .+%6 )  + '
%+ +   =  

(Box-Jenkins)

 & @ 

Autoregressive Moving Average (ARMA)

+%, *& D 0 E  + .*&' '   0 .) *+ .0
% G9+% %+, *%& B . & @  ) +0 TL +.:
%' %+3 .+%0 
/ T 28 < *&    + (+0
.G9+

-6-


+ ,- .' II
%    
 

   


 


( t)

% 1  .0 + + - = +    8 )+ '
$% .% % %6 )% )+% E  ' ! .20 &3
 & @  ) +N +'  T Autoregressive Moving Average Model

(ARMA)

7%- 0 1  +N /  - 7 )+ , ' ! )  c ([21]
A%   +:+ [23] ([22] +2=6 7+& <
 B + , +2=6
% !%#
 !&
%

ARMA

) <& .[24] ([6] ([5] ([3] ([4]   

Autoregressive Process (AR)

:O+

t-i

  ) , 3 & ." +

- @# + 0  

<+ %- !/ %

t = + 1 t 1 + 2 t 2 + L + p t p

(1)

+%  A
/  1.+ 7 T+ ( 6  

  

$ .% )   %+, & +' .AR(p) %

.0+ C.  =  

<+ - !/  

,

.MA(q) % A 

:
/ 2

MA(q) AR(p)

(t

(2)

% ?
 C.  

 ! $ . )

!0+ !& G 

ARMA

t = + 1 t 1 + 2 t 2 + L + p t p + t + 1 t 1 + 2 t 2 + L + q t q

-7-

+ 

Moving Average (MA)

t = + 1 t 1 + 2 t 2 + L + q t q


/ ?
. A
/ ($ . 

(1)


(2)

+

) +&:
(3)

.5% %
/ $% .  6 78+  i  i   
$ .  6 ) !M .0+ +  q

! + ! 

:+  
/ 5 
ARMA (p, q)

7%+  +%' .(Stationary)  +%



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ARMA

)% 0 5
.

7% %/  ?# ' ?. !/  + 


 +
 5&  + > 


%+ E   .

 +  &  + 

  

 
+ %% $%% .% % %6 )% 
q,d,p

:% 5%% 8%%%, %2

(d)


. ?#

ARMA

) 

(Autoregressive Integrated Moving Average)

:O+ 5 
ARIMA (p, d, q)

 P


ARIMA

)% !M 1 0 B- 53 ) + &' !

:+   E P

 +N +' + +  = +'  <'
:(Identification)  '
% %' ! 
 E

) 5  + 20

ARIMA(p, d, q)

(
%23  

 !  + 8 !

(d)

+  &  6

N '  .)

?%# 1  + > 


 7%+  +' .d

= 0

!  . + 

 & 8 ?# / 

 %
([26] ([25]

Unit Root

!M  +  

 7+ M

  + D2    3

" & + , 


 !  !/ 
 5+' "/ 

(Augmented Dickey - Fuller)

<    +

(Dickey - Fuller)


.[27]

5
.

Autocorrelation Function k (ACF)

 .+6  78+  !  +

T3 %+ #%2 !/ +N & 

 6 ' #2
 + k !  !' 

 0
E !M 
. "# 0, "  )+  .+6 78+ 7= M ((k

> 0)

"&

. + > 

 !' +0  +N  #2 !/ 
 78+
-8-

%   /&

(ACF)

78+  $  + *& +N +> 

:[28]

9+2

2
Q = n k2 ~ (m)
k =1

. & =
7+% % %2+ 
% ' + 

n

. 7&# / =

Ljung-Box (LB)



9+2  !  +

: Q 9+2 ! 6
N  [29] "-2

k2 2
~ (m)
LB = n(n + 2)

k =1 n k
m

?# *& 5
. AM  + > 

 !' 7+6 E ' 8 ! D M
?%# %

(d)

=  , ! ( + D2  ?+ 

 @# ?. , 3
. + 

 
/ 2


$ .

(p)

 6 5    

  + ".

=% !   (q

p)

=' + ?. !/ A# 7=  q

  "+/ ((q)

 3 ". E  ($ .  .+6 ! +

Residuals

)

.+%6  !   "+/ (

 " 
/ " &   ) *+
%

Partial Autocorrelation Function (PACF)

9&  .+6 

7# 7+, < ! 8 + - + = !

k



MA(q)

% %

$ . % %

PACF

@+%0 [31] [30]

.[32]

(SBC)

'

rk

9&  .+6 + ,

ACF

% !  +/ A& .J3

% + .$ > N#2

.p % +, = #2

(SBC) (Schwarz)

(AIC)

'

PACF



(ACF)

kq

0
 +N 9+2 N#2 T+ 6

1 !' = 1.+ F c 

(AIC) (Akaike)

AR(p)

@+0  !  +N '

% = =' A T ) +   5+ ) +6
:(Estimation) ) 0 b5

(p + q + 1)

/ 
/ 2 ) 0  (q (

) 5 + 

%& %& +  2+ . > 0 0.   "+/ ("0 +
-9-

% "+%/ 
 E  .%
 > C.  
/ T T $ .
+N % "%%0 %& ) + !  "+/ .+ !+0 +0 )+ "/ 0
)% "& @+0 = < [& +0 !  + ("0 #2 !/ 

.[33]
:(Diagnostic Cheking) 2  P# b)
!  C
 + ) P   ) + 
 < 
 E 
% !' !%  C J' "+ ($ . '  .+6   ! 
e + A'
.(White Noise) B3 C.  .  ?+. )  C.
% .+6 78+  .+6 78+ ?. !/ ) P  "+/
% %% %%0 !%  + .
23 

 @% 0 ) = 9&
"0 + 8 / !  C

(The Sum of The Squared

+ ?. , (+  0 !

2# !/&

1% *+%.' < [&  !  + .!/& 

%0 1%
 )% % %,  , 3 ) 0   .Forecast

Errors)

.[34] 


 00 = 0 ! 1 C. 5 $  7+ 
:(Forecasting) 1 b
8% ?%. !/ $ 1
 A%  (E%0 5+ ) + 
(% !%  C.  %0 %0 =% <+ -
 + + 0
+%\ "% "# 1 % ((t+1) + C 3 %0 
/ %2
 $
3 0 8M

( t+2)

+, 0 
/ 2 !  ((One period ahead forecasting)

"%#    (+ ! !3 .  3 ".  +

/ 2
C.  !' B  5 $ ."



MA

(t+1)

 # 
 E   (
.
.#2 T+ 
  )+

L8 3 .0 . 8 

 !+0
 ! !.0   - N'
+%2=6 7- ! , <  ( 

 

(Seasonality)

 )8/

% 7% 8% %. 7%- (I # / 2+ ?+#: ,
 "+/ .

 !+ "+  1  7- ! [  +& T1 ("% 
(PACF) (ACF)

= P# $  



 +   P#  7- +  

- 10 -

<% 7+%%+


4, 8, 12,

71%%.+   7++



12, 24, 36,

71.+ /

%2/ ' % % % 2/  +   7- )8 .%
% 
%
 5%
. + .)   7# /  $ .
< ?# '   7++
  / +, ?# , +N +'  ?# 3 

)% 5  + E   ("+  > ?#   +:+ 
2# 7++

:+  +
ARIMA (p, d, q) (P, D, Q)

+% %/  Q ( ?# / D (

AR

+ / 

  

.

MA

D !  7+, C.  !+ !' B# "+/ A'  +6+ "& +, .0
  ( *  7# / "  7+
0 ! 7  8 ! ,
.(Conditionally

Hetroskedastic)

.  !+ 8+  


 2 + E

1% "= 
/ +N 
 ,1 % !M % 

  !+ 8% +%&  
.) 
> 8
N , !+ !+ 
.

 !+ . ) < +  [5]

(Engle)

7,

% %
/ .(ARMA) ) + !+  7-
 / T' 0 !+ :+ 7+,
AR(p)

%& !% %  "2  .  !+

 ) < !  +,

% %6  .%  !+% 8 )  . e 2t = < +
.Autoregressive Conditional Heteroskedastic (ARCH)
)%  % 
/ .  !+ ! 

ARCH

) [24]

(Bollerslev)

. +

)% A%
/ ?
. .+N  $ .   ) 
/ T 
A% %

Generalized ARCH

% % 6  .%  !%+ 8

%
/ %  % .% 
/

MA AR

5  q

% % ?%%.+ % ?%. %0 ) 

Q

ARMA

+% % = <

PACF ACF

[5]. Lagrange Multiplier

- 11 -

% 
GARCH

'

GARCH(p, q)
ARCH

%&

P#   .ARIMA ) P#

(LM)

G&6 /+ + ' ?+

- 12 -

/0  III

:O+ A+=  T

(t)

   

t = log(CPI t ) log(CPI t 1 )

$% ((1995) % +%C !

 +3 +0 = 

(CPI)

  

.(IMF) % %0 ?2 [20] T  0 1  7++ +
% % %

(1980)

  ! "# .-  "+ 

  

(296)

.(2004)

%
  + E+&6  L8 ! <   

(1)

  D

(% 
%
 !  
/ N 1 . + ! < - 6 

 . !' 
(PACF)

9&  .+6 +

(PACF)

+%

(ACF)

(ACF)

 .+6 + P# , ' $ D

+ !' D  . ?

  (1 ) &  "0

%0, "%   <0 +

& + ((13

33)

1.+ / !

 *+,+ N& "-2

5. T'  . +  [&

 

 A& !'   .(0.114 )
B+# $  1 #2 !/ 
 6 +N 

(ACF)

!C +0 $ (<

.&  
 G9+ 7
t

(ADF)

(Disturbance)

9+2 =

<    + *&  G9+ E  C

= !  '  t = !'  ( +

(Level)

 +% 
%
 !'  + #
 71.+ /

J / 

 !'

(%1) (%5)

% ?%#   &+ 6 @+3  

/ .

(1)

& 

 J / &

~ I ( 0)

#2 & ! 
+ 

.ARMA (p , q)  +& D2    


 0

- 13 -

 2    :(1) "

0.06
0.04
0.02
0.00
-0.02
-0.04
-0.06
82

84

86

88

90

92

94

96

98

00

02

04

(ADF)

3 (   :(1) (

5(  2.% (

2.% (

4. 

-11.639

-11.661

-9.571

-9.588

-7.604

-7.618

-6.764

-6.777

.(%1)  J / -3.45 = <.+= & & 0

.(%1)  J / -3.99 = E+& <.+= & & 0

?%
 %

(1-)

%& % + %




(PACF) (ACF)

+  [&+

%0  $  (+ E A T . + ! + ! N +N +  & (
(PACF) (ACF)

7+&%

%= B+# !' + .(MA)

(ARMA)

(AR)

& ! +6 2  +

)% + !M ++ ((0.090 ! =') 3 0 2+ 6

N +&

%  0, "  

(PACF) (ACF)

- 14 -


 & !  .+6 
= #

B%3 C%.  ?+.   !' T'

ARMA (0, 0)

)  K0 +

.(White noise)

(ACF)

%


(33)

1.+% %/ $%  ((13) 1.+ / 1 & L8 N'

!%/ %
 +N % T' (0, "  )+ ! !
 +  ((PACF)
E% %
/ *a +% .)% *+ / +/6   ' "  + #2
:+ )+ 0  0 5+& B 7+/6
ARMA (0,0)

:3 )

ARMA(0,0) (2,0)

:+, )

t = + t

t = + 13 t 13 + 33 t - 33 + t
ARMA(0,0) (0,2)

:+, )

t = + 13 t 13 + 33 t - 33 + t
ARMA(0,0) (1,1)

:< )

t = + 13 t 13 + 33 t -33 + t
ARMA(0,0) (1,1)

:@+ )

t = + 33 t 33 + 13 t -13 + t
ARMA(0,0) (1,2)

:@+ )

t = + 13 t 13 + 11 t -11 + 33 t -33 + t

&  70 G9+ D  .0+ )+

 G9+ '

(2)

& P


% /+%  +3 .+0 B $+ !' 6  )+ ! N +N + 
=%


Q(33)

(2)

%= [+%# 3 )% %0 ! D .5+ ) +

)% ! T' #2 !/ 

 +N  +
& +  J B+# %
5%+ )% !  .$ . '  .+6 5  ! +N +% @

- 15 -

T%  )+ <& +  $ #2 !/ 

 +N  + !  !' 5
.
.#2 !/ 
 6 +N  + 
/
A+%  L%8 (@+ (< (+, (+, ) 70 G9+ P# /
G9+%  $  ((33) 


(PACF) (ACF)

(AIC)

(13)

71.+ /  + 

/ +9  ! )

+ +N 0 ?+.  F 

/ ) # 52  .+N 0

T+% %+ )+ ! +0  $ ( ?

  (1 )  

% ! 3 ) *+,+ )+ 0 G9+  L8 + ." &

(SBC)

&3 A9+0 , A# E& &+ !' + #2 !/ 

 6 +N  A' L  7+,
L) 
23 

  E+& & 

(Average Trend)



 E+& . !/ 
.(1  

!% =

PACF ACF


 !3 $ (@+ ) 

MA(11)

 ) 

 !  =  7- ! A= !' + (0.085 ) #2 !/ 

 +N  +
. 

 
  
 : 3$  ;
6 
"4 6 78 9+ :(2) (
<

<

<

<

<

>


>

2

)=

=

0.127

0.136

-0.27

0.158

0.10

-0.460

-0.443

-0.45

(-8.19)

(-8.79)

0.0074

0.0072

0.008

(2.211)

0.107
(2.08)

(-8.58)

0.00714

(-4.72)

(2.58)

(2.39)

(2.02)

6 <



0.00035

0.145

13

33

11

13

33

0.0074

0.0056

(2.46)

-0.26
(-4.58)

(1.07)

< [&
SSR

-10.562
-10.523
6.499

-10.459
-10.431
8.47

-10.555
-10.529
9.80

-10.507
-10.482
9.98

-10.457
-10.430
8.32

-10.381
-10.368
7.91

(0.59)

(0.49)

(0.37)

(0.35)

(0.50)

(0.72)

10.87

11.42

14.13

15.14

11.07

16.27

(0.93)

(0.93)

(0.82)

(0.77)

(0.95)

(0.80)

17.38

18.59

20.85

24.47

18.48

44.2

(0.97)

(0.96)

(0.92)

(0.79)

(0.96)

(0.09)

- 16 -

=

AIC/
SBC
Q(11)
Q(22)
Q(33)

! !&  ' !'

SBC

AIC

T+ = -2'  N+ 0 !  ? +

@+ < !& !   5+0

 NL @+ < :+ "0 )+ !
+% %, !  , 3 !& 0   (F 2  +  +=
T'

(Forcast Error)

1% C%. %+ !& +0 7 (7+  0 1



% C%. < . & h

 = .  00 = 0 ! 86

%2 9 ?#  +

(0.00389 0.00376)

 
/ @+ < !&

@ % %& !     < ) +/  A
/ .< )
 +%:+ [33] 1 + ! + , 3 ) 
/ + =3 ) #  &
D%2 A
/ (#2 !/ 
 6 +N   / T+ 1.+


PACF ACF


 !' 

:O+ + )

t = 13 t 13 + 33 t -33 + t

  
    + "+  !' + ) D
8,% "%#  %+ 0


(Weighted Average)

D& . . 

(t)

9%  *+%.3 . D& .+ + 9  C.   +:+ " /
()%  +
 71.+  B L# .!%,8, 8, "%#  +
+%L # !' !  A' + ( 7 > 7+ 71.+ 7 +
A' ! 
(Data-generating

%2 7+%+ B  +N +' L = +3  2 B )+

E%# !  )   +9+0 !M $ ! >+ .[33] ! ) +N 0.

Processes)

!%  <6 (" / +, 7#  L "+/   7- +' 
/
% 7+%+     7++ !' $  5 .  7++
 I
% % ?+#: 78+ 5
>' + (8)     @+' 
/ 
?+%#: % B   +:+ (&) 0 
 +N    

%& +     ! =' 0   !' 
  +  .8
N , ! 
,8,  # ++ (0  !/   +N   / '     
"#   ,C L # +  ( + T=  $+ +N  N !,8,
<%& % !,8, 8, "#
 D ,C $  .@+ )  " / +

- 17 -

% \ +N % !
% +3 +0 +=3 5+   <= ! .+N 0 )+
.)  +N 
& !+  0
!+% 8%6 < 

 7+  + +  5+ ) + 
B% L8 (1  ) ! <

(t)

 

   L 8 ! .. 

.N%& "% 7 7+ !' 7+ 9' 7++, '  +/ - 7+
0
(2b & L) 0 )
 = <
8,% %
 *+,%+

(0.03)

(PACF) (ACF)

! =' 

5+  5  &3

(PACF) (ACF)

= B+# D 


%  ! ) 
  + (Q 9+2 = B+# $  (0.099 ) !,8,
7

(LM)

G&6 /+ +  +N '   C

 ..  !+ 8

71.+ 5 (0.21

0.06

! K) N& # 


%  &   B = ++ &

TR

9+2 !' 7+6

! -2' +'  + (&

+ J 0+  "   = & E ..  !+ 8
06 5 <& . 7++ +   6  7+ " @  +3 
 &3   0   +:+ 7 +' 0 , ! (+ 2 
.T +2=8 K+#6  "
D%   "   0 1  + ) ?.  N'
% (FRLCPI = 0

RLCPI


23 

 =  ?
  (Wb)  

1% %+ $  " 8 = 00 0 !   5+0 D
.+\ " "#

- 18 -

  IV
$ (  
      = E @9 
% 0 1 
/ /+ ) *+ , ! .  - . 
/  &3
0 1 ! +   7++   $ &' ! .20 &3  
<+   

(1980)

+,   ! "#
 $ ( 0 ?2 T 

7+% %,  8 0

 9+2: 5+3 ?.   .(2004)
 % P%# %9&  .+6  .+6 + P# ?. !/ ! 
  = . 


 <    +   +:+ .+ E .+6
% & @  &  + '

(ARMA)

$ .  .+6 &

+ , 5+ ) +6 9+2: + B   + .(Box-Jenkins)
!+% 8 7+ 1 C.

(Schwarz) (Akaike)

.+ )


+ ?. = ! 

(ARCH)

 6 T . 

= ( +   

    

 !'   7
2
.% ' % 6   "+ )+ "/    J  
7%- ' &' !  B )  + .#
 7+& + .
 ' $

%  )+ !' ! P  7+ ! 

 *&  .+/6  
$% .% '  + * !,8, 8, " / 8, 7# ,C 
/
+%   ,C   !'   (  

 I+ #  +
=% 7+%+ &   +N  , ' "2 L = ,C   7-+
?+%#: 78+% ! N, !  0  3 @+' 
/ !
 +3 +0
.0  3 @+' 
/  B 

- 19 -


 7 
   PACF ACF  " & " % :(1-) (

- 20 -

% 2 PACF ACF  " & " % :(2-) (

- 21 -

FRLCPI

= 0

RLCPI


23 

 = :(@#) "

.06
.04
.02
.00
-.02
-.04
-.06
1985

1990

1995

2000

RLCPI
.025
.020
.015
.010
.005
.000
-.005
-.010
1985

1990

1995
FRLCPI

- 22 -

2000

2(
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- 25 -