FORECASTING CHAOTIC FUTURES OIL PRICE

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MOSHIRI S.; FOROUTAN F.

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Journal: Iranian Journal of Economic Research Year:2005 | Volume:6 | Issue:21 Page(s): 67-90

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Information Journal Paper

Title

FORECASTING CHAOTIC FUTURES OIL PRICE

Author(s)

MOSHIRI S. | FOROUTAN F. | Issue Writer Certificate

Keywords

CHAOSQ2

FUTURES OIL PRICEQ3

NONLINEAR MODELINGQ2

ARIMAQ4

GARCHQ3

BDSQ2

LYAPUNOV EXPONENTQ2

NEURAL NETWORKS.Q2

Abstract

The movements in oil prices are complex and, therefore, seem to be unpredictable. The traditional linear structural models have not been promising when applied to forecasting, particularly in the case of complex series such as oil prices. Although linear and nonlinear time series models have done much better job in forecasting oil prices, there is yet room for an improvement. If the data generating process is nonlinear, applying linear models could result in misleading forecasts. Model specification in nonlinear modeling can also be very case dependent and time-consuming. In this paper, we model and forecast daily FUTURES OIL PRICE, listed in NYMEX, applying ARIMA, and GARCH models, for the period April June 1983 - Jan. 2003. Then, we test for CHAOS using BDS, LYAPUNOV EXPONENT, Neural Networks, and Embedding Dimension methods. Finally, we will set up a nonlinear and flexible ANN model to forecast the series. Since the tests for CHAOS indicate that the oil price in futures markets is chaotic, the ANN model should make better forecasts. The forecasts comparison among the models approves that.

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APA: Copy

MOSHIRI, S., & FOROUTAN, F.. (2005). FORECASTING CHAOTIC FUTURES OIL PRICE. IRANIAN ECONOMIC RESEARCH, 6(21), 67-90. SID. https://sid.ir/paper/2535/en

Vancouver: Copy

MOSHIRI S., FOROUTAN F.. FORECASTING CHAOTIC FUTURES OIL PRICE. IRANIAN ECONOMIC RESEARCH[Internet]. 2005;6(21):67-90. Available from: https://sid.ir/paper/2535/en

IEEE: Copy

S. MOSHIRI, and F. FOROUTAN, “FORECASTING CHAOTIC FUTURES OIL PRICE,” IRANIAN ECONOMIC RESEARCH, vol. 6, no. 21, pp. 67–90, 2005, [Online]. Available: https://sid.ir/paper/2535/en

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