FORECASTING VOLATILITY OF CRUDE OIL PRICE USING THE GMDH NEURAL NETWORK

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MEHRARA MOHSEN; BEHRADMEHR NAFISEH; AHRARI MEHDI; MOHAGHEGH MOHSEN

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Journal: ENERGY ECONOMICS REVIEW Year:2010 | Volume:7 | Issue:25 Page(s): 89-112

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Title

FORECASTING VOLATILITY OF CRUDE OIL PRICE USING THE GMDH NEURAL NETWORK

Author(s)

MEHRARA MOHSEN | BEHRADMEHR NAFISEH | AHRARI MEHDI | MOHAGHEGH MOHSEN | Issue Writer Certificate

Keywords

VOLATILITYQ3

GMDH NEURAL NETWORKQ3

FORECASTINGQ3

CRUDE OIL PRICEQ3

Abstract

The current study aims to develop a model for FORECASTING VOLATILITY of CRUDE OIL PRICE by using neural networks. To do so, time series prices of the two crude oil markets- of Brent and WTI - for the period of 12/05/1990 to 2/2/2010 are used. We have compared the results of four different VOLATILITY models including two Neural Networks (which differ in inputs, as explained in the article), GARCH (1, 1) and a hybrid model of NNs and GARCH. Comparison of predictions of these models using the Root Mean Square Error (RMSE) criteria reveals that the performance of the hybrid and both NN models is better than GARCH (1, 1) for both oil markets.

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APA: Copy

MEHRARA, MOHSEN, BEHRADMEHR, NAFISEH, AHRARI, MEHDI, & MOHAGHEGH, MOHSEN. (2010). FORECASTING VOLATILITY OF CRUDE OIL PRICE USING THE GMDH NEURAL NETWORK. ENERGY ECONOMICS REVIEW, 7(25), 89-112. SID. https://sid.ir/paper/99570/en

Vancouver: Copy

MEHRARA MOHSEN, BEHRADMEHR NAFISEH, AHRARI MEHDI, MOHAGHEGH MOHSEN. FORECASTING VOLATILITY OF CRUDE OIL PRICE USING THE GMDH NEURAL NETWORK. ENERGY ECONOMICS REVIEW[Internet]. 2010;7(25):89-112. Available from: https://sid.ir/paper/99570/en

IEEE: Copy

MOHSEN MEHRARA, NAFISEH BEHRADMEHR, MEHDI AHRARI, and MOHSEN MOHAGHEGH, “FORECASTING VOLATILITY OF CRUDE OIL PRICE USING THE GMDH NEURAL NETWORK,” ENERGY ECONOMICS REVIEW, vol. 7, no. 25, pp. 89–112, 2010, [Online]. Available: https://sid.ir/paper/99570/en

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