Forecasting of Crude Oil Prices Using Wavelet Decomposition Based Denoising with ARMA Model

Prabhat Mittal ()
Additional contact information
Prabhat Mittal: Satyawati College, University of Delhi

Asia-Pacific Financial Markets, 2024, vol. 31, issue 2, No 7, 355-365

Abstract: Abstract The uncertainty caused by high volatile crude oil prices and the higher level of deregulations worldwide has significant effects on the economic growth of a country. The financial markets of many developing countries experienced a severe downturn during the oil price shocks in March-April 2020. Traditional predictive approaches, which assume linearity and stationarity of time series in the long run, fail to accurately capture short-term fluctuations. This paper presents an efficient algorithm based on ARMA denoising and taking advantage of the wavelet transformation. By decomposing the time series and extracting the intricate underlying structure, wavelet denoising minimizes distortions and enhances forecasting accuracy. The results demonstrate a substantial improvement in performance compared to conventional forecasting techniques.

Keywords: Wavelet; Forecasting; ARMA; Crude oil; Denoising; C1; C4; G2 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10690-023-09418-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09418-7

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-023-09418-7

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().