A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices

Crude oil is an important energy commodity to mankind. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to raise sky-rocket. In this s...

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Main Authors:	Siti Roslindar, Yaziz, Maizah Hura, Ahmad, Lee, Chee Nian, Noryanti, Muhammad
Format:	Article
Language:	English
Published:	Asian Network for Scientific Information 2011
Subjects:	QA Mathematics
Online Access:	http://umpir.ump.edu.my/id/eprint/18630/ http://umpir.ump.edu.my/id/eprint/18630/ http://umpir.ump.edu.my/id/eprint/18630/ http://umpir.ump.edu.my/id/eprint/18630/1/fist-2011-roslindar-Comparative%20Study%20on%20Box-Jenkins%20and%20Garch%20Model.pdf

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spelling	ump-186302018-06-28T04:08:07Z http://umpir.ump.edu.my/id/eprint/18630/ A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices Siti Roslindar, Yaziz Maizah Hura, Ahmad Lee, Chee Nian Noryanti, Muhammad QA Mathematics Crude oil is an important energy commodity to mankind. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to raise sky-rocket. In this study, daily West Texas Intermediate (WTI) crude oil prices data is obtained from Energy Information Administration (EIA) from 2nd January 1986 to 30th September 2009. This study uses the Box-Jenkins methodology and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) approach in analyzing the crude oil prices. ARIMA(1,2,1) and GARCH(1,1) are found to be the appropriate models under model identification, parameter estimation, diagnostic checking and forecasting future prices. In this study, the analyses are done with the aid of EViews software where the potential of this software in forecasting daily crude oil prices time series data is explored. Finally, using several measures, comparison performances between ARIMA(1, 2, 1) and GARCH(1,1) models are made. GARCH(1,1) is found to be a better model than ARIMA(1, 2, 1) model. Based on the study, it is concluded that ARIMA(1,2,1) model is able to produce good forecast based on a description of history patterns in crude oil prices. However, the GARCH(1,1) is the better model for daily crude oil prices due to its ability to capture the volatility by the non-constant of conditional variance. Asian Network for Scientific Information 2011 Article PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/18630/1/fist-2011-roslindar-Comparative%20Study%20on%20Box-Jenkins%20and%20Garch%20Model.pdf Siti Roslindar, Yaziz and Maizah Hura, Ahmad and Lee, Chee Nian and Noryanti, Muhammad (2011) A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices. Journal of Applied Sciences , 11 (7). pp. 1129-1135. ISSN 1812-5654 http://dx.doi.org/10.3923/jas.2011.1129.1135 DOI: 10.3923/jas.2011.1129.1135
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	QA Mathematics
spellingShingle	QA Mathematics Siti Roslindar, Yaziz Maizah Hura, Ahmad Lee, Chee Nian Noryanti, Muhammad A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices
description	Crude oil is an important energy commodity to mankind. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to raise sky-rocket. In this study, daily West Texas Intermediate (WTI) crude oil prices data is obtained from Energy Information Administration (EIA) from 2nd January 1986 to 30th September 2009. This study uses the Box-Jenkins methodology and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) approach in analyzing the crude oil prices. ARIMA(1,2,1) and GARCH(1,1) are found to be the appropriate models under model identification, parameter estimation, diagnostic checking and forecasting future prices. In this study, the analyses are done with the aid of EViews software where the potential of this software in forecasting daily crude oil prices time series data is explored. Finally, using several measures, comparison performances between ARIMA(1, 2, 1) and GARCH(1,1) models are made. GARCH(1,1) is found to be a better model than ARIMA(1, 2, 1) model. Based on the study, it is concluded that ARIMA(1,2,1) model is able to produce good forecast based on a description of history patterns in crude oil prices. However, the GARCH(1,1) is the better model for daily crude oil prices due to its ability to capture the volatility by the non-constant of conditional variance.
format	Article
author	Siti Roslindar, Yaziz Maizah Hura, Ahmad Lee, Chee Nian Noryanti, Muhammad
author_facet	Siti Roslindar, Yaziz Maizah Hura, Ahmad Lee, Chee Nian Noryanti, Muhammad
author_sort	Siti Roslindar, Yaziz
title	A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices
title_short	A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices
title_full	A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices
title_fullStr	A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices
title_full_unstemmed	A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices
title_sort	comparative study on box-jenkins and garch mmodels in forecasting crude oil prices
publisher	Asian Network for Scientific Information
publishDate	2011
url	http://umpir.ump.edu.my/id/eprint/18630/ http://umpir.ump.edu.my/id/eprint/18630/ http://umpir.ump.edu.my/id/eprint/18630/ http://umpir.ump.edu.my/id/eprint/18630/1/fist-2011-roslindar-Comparative%20Study%20on%20Box-Jenkins%20and%20Garch%20Model.pdf
first_indexed	2023-09-18T22:26:29Z
last_indexed	2023-09-18T22:26:29Z
_version_	1777416001291288576

A Comparative Study on Box-Jenkins and Garch mModels in Forecasting Crude Oil Prices

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