Accurate Estimated Model of Volatility Crude Oil Price

Toto Gunarto, Rialdi Azhar, Novita Tresiana, Supriyanto Supriyanto and Ayi Ahadiat
Additional contact information
Toto Gunarto: Department of Development Economics, Faculty of Economics and Business, Universitas Lampung, Indonesia,
Rialdi Azhar: Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Indonesia,
Novita Tresiana: Department of Public Administration, Faculty of Social and Political Science, Universitas Lampung, Indonesia,
Supriyanto Supriyanto: Department of Business Administration, Faculty of Social and Political Science, Universitas Lampung, Indonesia,
Ayi Ahadiat: Department of Management, Faculty of Economics and Business, Universitas Lampung, Indonesia.

International Journal of Energy Economics and Policy, 2020, vol. 10, issue 5, 228-233

Abstract: Crude oil price (COP) data are time-series data that are assessed as having both volatility and heteroscedasticity variance. One of the best models that can be applied to address the heteroscedasticity problem is GARCH (generalized autoregressive conditional heteroscedasticity) model. The purpose of this study is to construct the best-fitted model to forecast daily COP as well as to discuss the prepared recommendation for reducing the impact of daily COP movement. Daily COP data are observed for the last decade, i.e., from 2009 to 2018. The finding with the error of less than 0.0001 is AR (1) GARCH (1,1). The implementation of the model is applicable for both predicting the next 90 days for the COP and its anticipated impact in the future. Because of the increasing prediction, it is recommended that policymakers convert energy use to renewable energy to reduce the cost of oil use.

Keywords: Crude Oil Price; Heteroscedasticity; Subsidy; GARCH Model (search for similar items in EconPapers)
JEL-codes: C5 C53 O4 O42 Q4 Q42 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.econjournals.com/index.php/ijeep/article/download/9513/5277 (application/pdf)
https://www.econjournals.com/index.php/ijeep/article/view/9513/5277 (text/html)

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:eco:journ2:2020-05-26

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().