TIME SERIES ANALYSIS FOR FORECASTING CRUDE OIL PRICES

Authors

DOI:

https://doi.org/10.35774/jee2023.03.430

Keywords:

international crude oil prices, forecasting, ARMA, GARCH, returns, Eviews.

Abstract

Many analysts, policymakers, and researchers have grown increasingly concerned about the fluctuation of international crude oil prices. That is because oil prices reflect many macroeconomic and financial indicators (GDP, unemployment, inflation, S&P 500 Index, Nasdaq Composite Index), and conditions in a variety of financial and goods markets. This paper highlights the most appropriate model for estimating and forecasting West Texas Intermediate (WTI) crude oil monthly prices by comparing three hybrid models – ARMA-GARCH, ARMAEGARCH, and ARMA-FIGARCH. Finally, among these models, the paper considers that the ARMA-EGARCH(1,20) model emerges as the most efficacious model for the prediction of West Texas Intermediate (WTI) crude oil monthly price returns.

JEL: Q47.

Author Biographies

Vasileios ANASTASIADIS, University of Western Macedonia, Kozani

M.Sc. in Oil and Gas Management and Transportation

Evangelos SISKOS, University of Western Macedonia, Kozani

DSc (Econ), Professor of International, European and Black Sea Economic Relations, Department of International and European Economic Studies

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Received: June 26, 2023.

Reviewed: July 28, 2023.

Accepted: August 10, 2023.

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Published

11.12.2023

How to Cite

ANASTASIADIS, Vasileios, and Evangelos SISKOS. “TIME SERIES ANALYSIS FOR FORECASTING CRUDE OIL PRICES”. Journal of European Economy, vol. 22, no. 3, Dec. 2023, pp. 430-54, doi:10.35774/jee2023.03.430.

Issue

Vol. 22 No. 3 (2023): JOURNAL OF EUROPEAN ECONOMY

Section

NEW ECONOMY

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