A COMPARISON AMONGST VARIOUS CONDITIONAL VARIANCE HETEROSCEDASTICITY MODELS IN MODELING AND FORECASTING OIL PRICE VOLATILITY

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

KOMIJANI AKBAR; NADERI ESMAEIL; GANDALI ALIKHANI NADIYA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: ENERGY ECONOMICS REVIEW Year:2013 | Volume:9 | Issue:35 Page(s): 121-146

Download Full-Text

Persian Verion

View:

2,134

Download:

Cites:

Information Journal Paper

Title

A COMPARISON AMONGST VARIOUS CONDITIONAL VARIANCE HETEROSCEDASTICITY MODELS IN MODELING AND FORECASTING OIL PRICE VOLATILITY

Author(s)

KOMIJANI AKBAR | NADERI ESMAEIL | GANDALI ALIKHANI NADIYA | Issue Writer Certificate

Keywords

CRUDE OIL PRICEQ2

LONG MEMORYQ2

GARCHQ2

FIGARCHQ2

Abstract

This study attempts to introduce an efficient model for modeling and forecasting the fluctuations of Iran's CRUDE OIL PRICE.In this regard, the study uses weekly time series data of Iran's CRUDE OIL PRICE from January 1997 to November 2011. We examine the existence of long term memory in both mean and variance equations of Iran's CRUDE OIL PRICEs. Our results confirm the existence of this property in both mean and variance equations. Amongst the models based on the information criteria and MSE, the GARCH and EMBED Equation. 3 model has been selected as the best forecasts Iran’s heavy CRUDE OIL PRICE fluctuations.

Cites

References

Cite

APA: Copy

KOMIJANI, AKBAR, NADERI, ESMAEIL, & GANDALI ALIKHANI, NADIYA. (2013). A COMPARISON AMONGST VARIOUS CONDITIONAL VARIANCE HETEROSCEDASTICITY MODELS IN MODELING AND FORECASTING OIL PRICE VOLATILITY. ENERGY ECONOMICS REVIEW, 9(35), 121-146. SID. https://sid.ir/paper/99576/en

Vancouver: Copy

KOMIJANI AKBAR, NADERI ESMAEIL, GANDALI ALIKHANI NADIYA. A COMPARISON AMONGST VARIOUS CONDITIONAL VARIANCE HETEROSCEDASTICITY MODELS IN MODELING AND FORECASTING OIL PRICE VOLATILITY. ENERGY ECONOMICS REVIEW[Internet]. 2013;9(35):121-146. Available from: https://sid.ir/paper/99576/en

IEEE: Copy

AKBAR KOMIJANI, ESMAEIL NADERI, and NADIYA GANDALI ALIKHANI, “A COMPARISON AMONGST VARIOUS CONDITIONAL VARIANCE HETEROSCEDASTICITY MODELS IN MODELING AND FORECASTING OIL PRICE VOLATILITY,” ENERGY ECONOMICS REVIEW, vol. 9, no. 35, pp. 121–146, 2013, [Online]. Available: https://sid.ir/paper/99576/en

Related Journal Papers