Seasonal Arima Modelling of Nigerian Monthly Crude Oil Prices

Ette Harrison Etuk

Asian Economic and Financial Review, 2013, vol. 3, issue 3, 333-340

Abstract: The time plot of the series NCOP reveals a peak in 2008 and a depression in early 2009. The overall trend is horizontal and no seasonality is obvious. Twelve-month differencing yields SDNCOP exhibiting still a peak in 2008 and a trough in 2009, the overall trend being slightly positive and seasonality not easily discernible. Nonseasonal differencing of SDNCOP yields DSDNCOP with an overall horizontal trend and no obvious seasonality. However its correlogram reveals an autocorrelation structure of a seasonal model of order 12. Moreover it suggests the product of two moving average components both of order one, one non-seasonal and the other 12-month seasonal. The partial autocorrelation function suggests the involvement of a seasonal (i.e. 12-month) autoregressive component of order one. A (0, 1, 1)x(1, 1, 1)12 autoregressive integrated moving average model was therefore proposed and fitted. It has been shown to be adequate.

Keywords: Seasonal time series; ARIMA models; Crude oil prices; Nigeria. (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/996/1479 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:3:y:2013:i:3:p:333-340:id:996

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().