A Comparative Study on Box-Jenkins and Garch Models in Forecasting Crude Oil Prices
نویسندگان
چکیده
منابع مشابه
Forecasting Crude Oil prices Volatility and Value at Risk: Single and Switching Regime GARCH Models
Forecasting crude oil price volatility is an important issues in risk management. The historical course of oil price volatility indicates the existence of a cluster pattern. Therefore, GARCH models are used to model and more accurately predict oil price fluctuations. The purpose of this study is to identify the best GARCH model with the best performance in different time horizons. To achieve th...
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ژورنال
عنوان ژورنال: Journal of Applied Sciences
سال: 2011
ISSN: 1812-5654
DOI: 10.3923/jas.2011.1129.1135