Futures versus univariate forecast of crude oil prices

Salah Abosedra

OPEC Energy Review, 2005, vol. 29, issue 4, 231-241

Abstract: A simple univariate model is employed to generate an unbiased and (weakly) efficient forecast of the crude oil spot price. In terms of predictive information, however, this univariate forecast is inferior to the futures price for one‐month‐ahead contracts. This observation may suggest that the futures price of crude oil, while unbiased, tends to be semi‐strongly efficient.

Date: 2005
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