Application of Markov Model in Crude Oil Price Forecasting

Nuhu Isah and Abdul Talib Bon
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Nuhu Isah: Universiti Tun Hussein Onn Malaysia
Abdul Talib Bon: Universiti Tun Hussein Onn Malaysia

Traektoriâ Nauki = Path of Science, 2017, vol. 3, issue 8(25), 1007-1012

Abstract: Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to rise. In this study, daily crude oil prices data was obtained from WTI dated 2 January to 29 May 2015. We used Markov Model (MM) approach in forecasting the crude oil prices. In this study, the analyses were done using EViews and Maple software where the potential of this software in forecasting daily crude oil prices time series data was explored. Based on the study, we concluded that MM model is able to produce accurate forecast based on a description of history patterns in crude oil prices.

Keywords: forecasting; crude oil; price; Markov model. (search for similar items in EconPapers)
JEL-codes: C53 E31 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.22178/pos.25-3

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