Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models

Zhongbao Zhou, Ke Duan, Ling Lin and Qianying Jin

International Journal of Global Energy Issues, 2015, vol. 38, issue 4/5/6, 286-297

Abstract: In this paper, we apply several models to forecast the WTI monthly crude oil price from the long-term and short-term aspects. Then we use several diagnostic assessments to check the predictive abilities of the competing models. The results show that EGARCH model is more suitable for the short-term forecast, while the TARCH model is more appropriate for forecasting long-term oil price than other models.

Keywords: WTI crude oil prices; price forecasting; predictive ability; long-term forecasts; short-term forecasts; EGARCH models; TARCH models; modelling. (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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