Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models
by Zhongbao Zhou; Ke Duan; Ling Lin; Qianying Jin
International Journal of Global Energy Issues (IJGEI), Vol. 38, No. 4/5/6, 2015

Abstract: In this paper, we apply several models to forecast the WTI monthly crude oil price from the long-term and short-term aspects. Then we use several diagnostic assessments to check the predictive abilities of the competing models. The results show that EGARCH model is more suitable for the short-term forecast, while the TARCH model is more appropriate for forecasting long-term oil price than other models.

Online publication date: Wed, 01-Jul-2015

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