Modelling and forecasting Oman crude oil prices using Box-Jenkins techniques

M.I. Ahmad

International Journal of Trade and Global Markets, 2012, vol. 5, issue 1, 24-30

Abstract: The Box-Jenkins' Auto Regressive Integrated Moving Average (ARIMA) modelling approach has been applied for the time series analysis of monthly average prices of Oman crude oil taken over a period of 10 years. Several seasonal and non-seasonal ARIMA models were identified. These models were then estimated and compared for their adequacy using the significance of the parameter estimates, mean square errors and Modified Box-Pierce (Ljung-Box) Chi-Square statistic. Based on these criterion a multiplicative seasonal model of the form ARIMA (1,1,5)x(1,1,1) was recommended for short term forecasting.

Keywords: time series; Box-Jenkins models; crude oil prices; price forecasting; ARIMA modelling; Oman; seasonal models. (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.inderscience.com/link.php?id=45574 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijtrgm:v:5:y:2012:i:1:p:24-30

Access Statistics for this article

More articles in International Journal of Trade and Global Markets from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().