Modelling and Forecasting Crude Oil Prices during COVID-19 Pandemic

Ernie Hendrawaty, Rialdi Azhar, Fajrin Satria Dwi Kesumah, Sari Indah Oktanti Sembiring and Mega Metalia
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Ernie Hendrawaty: Department of Management, Faculty of Economics and Business, Universitas Lampung, Lampung, Indonesia
Rialdi Azhar: Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Lampung, Indonesia.
Fajrin Satria Dwi Kesumah: Department of Management, Faculty of Economics and Business, Universitas Lampung, Lampung, Indonesia
Sari Indah Oktanti Sembiring: Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Lampung, Indonesia.
Mega Metalia: Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Lampung, Indonesia.

International Journal of Energy Economics and Policy, 2021, vol. 11, issue 2, 149-154

Abstract: Currently, the world suffers from the COVID-19 pandemic, which affects almost every aspect of daily life, giving rise to recession and affecting the world prices of crude oil. The study aims to model the high uncertainty of volatility as well as to forecast the daily prices of crude oil during the pandemic. One econometric model applied in this study is the Generalised Autoregressive Conditional Heteroscedasticity (GARCH) that allows more accurate and appropriate statistical analyses. Particularly, this study also discusses solving economic issues on the condition of any disturbances in the stability of daily crude oil prices. The findings suggest that the AR(1)-GARCH(1,1) model is a well-fitted model to predict relatively small errors. This model can act as a foundation for determining strategies in the future while facing such uncertain circumstances.

Keywords: Forecasting; COVID-19 pandemic; Crude oil prices; Pandemic; Generalised Autoregressive Conditional Heteroscedasticity model (search for similar items in EconPapers)
JEL-codes: C5 C53 C58 Q4 Q47 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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