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

Available online: 20 Jun 2015 *

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