Using ARIMA-GARCH Model to Analyze Fluctuation Law of International Oil Price

Ying Xiang and Wen-Tsao Pan

Mathematical Problems in Engineering, 2022, vol. 2022, 1-7

Abstract: It is meaningful and of certain theoretical value for the development of economy through analyzing fluctuation rules of international oil prices and forecasting the future trend of international oil prices. By composing the autoregressive integrated moving average (ARIMA) model and the combination model of autoregressive integrated moving average model-generalized autoregressive conditional heteroskedasticity (ARIMA-GARCH) for analyzing and forecasting international oil prices, study shows that the combination model of ARIMA (1,1,0)-GARCH (1,1) is more suitable for short-term forecasting of international oil prices with higher accuracy that the MAPE of forecasting has reduced from 1.549% to 0.045% and the RMSE of forecasting has reduced from 1.032 to 0.071.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/mpe/2022/3936414.pdf (application/pdf)
http://downloads.hindawi.com/journals/mpe/2022/3936414.xml (application/xml)

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:hin:jnlmpe:3936414

DOI: 10.1155/2022/3936414

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().