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Information Journal Paper

Title

OPEC Crude Oil Daily Price Modeling by Extracting Nonlinear Exponential Behavior of Variance from Long-Term Memory

Pages

  97-126

Abstract

 Given the importance of oil prices, proper prediction of the OPEC Reference Basket can have an essential role in the immunization of economies in these countries against the effects of these fluctuations. This research is an effort to introduce an optimal model for modeling and predicting the fluctuations in OPEC crude oil prices. In this regard, we used data of daily oil prices between 2/1/1986 and 13/2/2017. According to this, the existence of long-term memory in the average equations and variance of crude oil prices were assessed and modeled and the result of the ARFIMA, confirms the existence of long-term memory in both the average equation and series variance. However, tests confirm non-linear and exponential behavior in crude oil prices. For this reason, results are specifically based on the information criteria and also MAPE and indicate the selection of a mixed model of partial augmented average movement and the model of conditional exponential Heteroscedasticity EGARCH (1,1) AFIRMA (4,0.09,3) as the best model for modeling and predicting the OPEC crude oil fluctuations in prices and lack of attention to exponential non-linear variance in the long term memory of crude oil prices can cause an error in the calculation of analysts and especially economic decision maker and deviation optimal policies.

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