Authors: M.I. Ahmad
Addresses: 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.
International Journal of Trade and Global Markets, 2012 Vol.5 No.1, pp.24 - 30
Published online: 31 Dec 2014 *Full-text access for editors Access for subscribers Purchase this article Comment on this article