Modelling and Forecasting Monthly Crude Oil Price of Pakistan: A Comparative Study of ARIMA, GARCH and ARIMA Kalman Model

被引：19
|
作者：
Aamir, Muhammad [1 ]
Shabri, Ani [1 ]
机构：
[1] Univ Teknol Malaysia, Dept Math Sci, Fac Sci, Johor Baharu 81310, Malaysia
来源：
ADVANCES IN INDUSTRIAL AND APPLIED MATHEMATICS | 2016年 / 1750卷
关键词：
ARIMA; Crude oil; Forecasting; GARCH; Kalman Filter;
D O I：
10.1063/1.4954620
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Crude oil is one of the most important commodity in the world and it is meaningful for every individual. This study aims at developing a more appropriate model for forecasting the monthly crude oil price of Pakistan. In this study, three-time series models are used namely Box-Jenkins ARIMA (Auto-regressive Integrated Moving Average), GARCH (Generalized Auto-regressive Conditional Hetero-scedasticity) and ARIMA Kalman for modelling and forecasting the monthly crude oil price of Pakistan. The capabilities of ARIMA, GARCH and ARIMA-Kalman in modelling and forecasting the monthly crude oil price are evaluated by MAE (Mean Absolute Error) and RMSE (Root Mean Squared Error). It is concluded that the hybrid model of ARIMA Kalman perform well as compared to the Box-Jenkins ARIMA and GARCH models.
引用
收藏
页数：7
相关论文
共 50 条
  • [1] CRUDE OIL PRICE FORECASTING BY CEEMDAN BASED HYBRID MODEL OF ARIMA AND KALMAN FILTER
    Aamir, Muhammad
    Shabri, Ani
    Ishaq, Muhammad
    JURNAL TEKNOLOGI, 2018, 80 (04): : 67 - 79
  • [2] International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models
    Mohammadi, Hassan
    Su, Lixian
    ENERGY ECONOMICS, 2010, 32 (05) : 1001 - 1008
  • [3] Oil Price Factors: Forecasting on the Base of Modified ARIMA Model
    Nyangarika, Anthony Msafiri
    Tang, Bao-jun
    2018 2ND INTERNATIONAL CONFERENCE ON POWER AND ENERGY ENGINEERING (ICPEE 2018), 2018, 192
  • [4] Forecasting Crude Oil Prices Using Wavelet ARIMA Model Approach
    Md-Khair, Nurull Qurraisya Nadiyya
    Samsudin, Ruhaidah
    RECENT TRENDS IN INFORMATION AND COMMUNICATION TECHNOLOGY, 2018, 5 : 535 - 544
  • [5] The performance of hybrid ARIMA-GARCH modeling in forecasting gold price
    Yaziz, S. R.
    Azizan, N. A.
    Zakaria, R.
    Ahmad, M. H.
    20TH INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION (MODSIM2013), 2013, : 1201 - 1207
  • [6] Forecasting Crude Oil and Petroleum Oil and Lubricants Production and Imports Using ARIMA Model
    Babu, N. Chandan
    Pranav, Chakravadhanula Naga
    Ganesh, L.
    Nagamani, Pasupuleti Triveni
    PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON DATA SCIENCE, MACHINE LEARNING AND APPLICATIONS, VOL 1, ICDSMLA 2023, 2025, 1273 : 769 - 774
  • [7] Improving forecasting accuracy of crude oil price using decomposition ensemble model with reconstruction of IMFs based on ARIMA model
    Aamir, Muhammad
    Shabri, Ani
    Ishaq, Muhammad
    MALAYSIAN JOURNAL OF FUNDAMENTAL AND APPLIED SCIENCES, 2018, 14 (04): : 471 - 483
  • [8] Using ARIMA-GARCH Model to Analyze Fluctuation Law of International Oil Price
    Xiang, Ying
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2022, 2022
  • [9] Forecasting agricultural price volatility of some export crops in Egypt using ARIMA/GARCH model
    Agbo, Hanan Mahmoud Sayed
    REVIEW OF ECONOMICS AND POLITICAL SCIENCE, 2023, 8 (02) : 123 - 133
  • [10] An Adaptive Hybrid Learning Paradigm Integrating CEEMD, ARIMA and SBL for Crude Oil Price Forecasting
    Wu, Jiang
    Chen, Yu
    Zhou, Tengfei
    Li, Taiyong
    ENERGIES, 2019, 12 (07)
12345