Int. J. of Trade and Global Markets   »   2012 Vol.5, No.1



Title: Modelling and forecasting Oman crude oil prices using Box-Jenkins techniques


Author: M.I. Ahmad


Address: Department of Mathematics and Statistics, College of Science, Sultan Qaboos University, Alkhod, P.O. Box 36, Post-Code 123, Muscat, Oman


Abstract: The Box-Jenkins' Auto Regressive Integrated Moving Average (ARIMA) modelling approach has been applied for the time series analysis of monthly average prices of Oman crude oil taken over a period of 10 years. Several seasonal and non-seasonal ARIMA models were identified. These models were then estimated and compared for their adequacy using the significance of the parameter estimates, mean square errors and Modified Box-Pierce (Ljung-Box) Chi-Square statistic. Based on these criterion a multiplicative seasonal model of the form ARIMA (1,1,5)x(1,1,1) was recommended for short term forecasting.


Keywords: time series; Box-Jenkins models; crude oil prices; price forecasting; ARIMA modelling; Oman; seasonal models.


DOI: 10.1504/IJTGM.2012.045574


Int. J. of Trade and Global Markets, 2012 Vol.5, No.1, pp.24 - 30


Available online: 22 Feb 2012



Editors Full text accessAccess for SubscribersPurchase this articleComment on this article