The long-term memory of HongKong Hang Sheng index using MRS analysis was studied, established ARFIMA model for it, and detailed the procedure of fractional differencing.

• 摘要采用MRS分析法对香港恒生指数周数据序列的长期记忆性进行研究，并建立ARFIMA模型，推导了分数阶差分的计算过程。