Markov Switching Autoregressive Model for WTI Crude Oil Price

Çiğdem Yilmaz () and Nilgün Çi̇l
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Çiğdem Yilmaz: Department of Econometrics, Institution of Social Sciences, İstanbul University, Fatih, İstanbul, Turkey
Nilgün Çi̇l: Department of Econometrics, Institution of Social Sciences, İstanbul University, Fatih, İstanbul, Turkey

EKOIST Journal of Econometrics and Statistics, 2018, vol. 14, issue 28, 45-56

Abstract: In this study, we aimed to test the nonlinear structure of crude oil prices with Markov Regime Switching Autoregressive Models. In the study of weekly prices covering the period from May 06, 1990 to April 11, 2018, a two-regime Markov switching model was applied. In the case of two regimes, we proved the that the probability the process will be in regime 1 or 2 is given by steady-state probabilities. As a result, it can be seen that the predictions made by the Markov switching autoregressive model were succesful.

Keywords: Regime change; Markov Switching Autoregressive Models; Crude Oil (search for similar items in EconPapers)
JEL-codes: C01 C2 C24 N7 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ekoist:v:14:y:2018:i:28:p:45-56

DOI: 10.26650/ekoist.2018.14.28.0003

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