Title: Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models
Authors: Zhongbao Zhou; Ke Duan; Ling Lin; Qianying Jin
Addresses: School of Business Administration, Hunan University, Changsha 410082, China ' School of Business Administration, Hunan University, Changsha 410082, China ' School of Business Administration, Hunan University, Changsha 410082, China ' School of Business Administration, Hunan University, Changsha 410082, China
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.
Keywords: WTI crude oil prices; price forecasting; predictive ability; long-term forecasts; short-term forecasts; EGARCH models; TARCH models; modelling.
DOI: 10.1504/IJGEI.2015.070267
International Journal of Global Energy Issues, 2015 Vol.38 No.4/5/6, pp.286 - 297
Received: 05 Sep 2014
Accepted: 05 Nov 2014
Published online: 01 Jul 2015 *