Inflation forecast in Angola: a fractional approach

Resumen:
This paper forecasts inflation in Angola with an ARFIMA (autoregressive fractionally integrated moving average) model. It is found that inflation in Angola is a highly persistent variable with an order of integration constrained between 0 and 1. Moreover, a structural break is found in August 1996. Using the second subsample for forecasting purposes, the results reveal that inflation will remain low, assuming that prudent macroeconomic policies are maintained.