Application of extreme value theorem in modelling oil consumption of organisation of petroleum exporting countries
by Masha Ahoba Buah; Victor Amoako Temeng; Samuel Kwesi Asiedu Addo; Yao Yevenyo Ziggah
International Journal of Business Forecasting and Marketing Intelligence (IJBFMI), Vol. 7, No. 3, 2022

Abstract: In this study, oil consumption of organisation of petroleum exporting countries (OPEC) from 1973 to 2018 is modelled using extreme value theorem (EVT). The main objective of this paper was to employ both the block maxima method and peak over threshold method to determine the best fitting distribution to extreme oil consumption of OPEC. In both approaches, the maximum likelihood estimation was applied to determine the distribution parameters. Findings from the study revealed that the optimal model from the generalised extreme value (GEV) distribution was the Weibull distribution with shape, scale, and location parameter values of -0.63, 6,217.54 and 26,773.21. The optimal model from the generalised Pareto distribution (GPD) was Pareto type II distribution with shape and scale parameters of 0.04 and 666.64 at a threshold value of 34,000. A comparison of the return levels revealed that GPD gave higher return level estimates than GEV. In the study, GEV was chosen over GPD because the difference between the 95% lower and upper confidence intervals and the actual return level for the BMM was found to be lower as compared to the POT approach.

Online publication date: Mon, 16-May-2022

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Business Forecasting and Marketing Intelligence (IJBFMI):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com