Using ARIMA-GARCH Model to Analyze Fluctuation Law of International Oil Price
It is meaningful and of certain theoretical value for the development of economy through analyzing fluctuation rules of international oil prices and forecasting the future trend of international oil prices. By composing the autoregressive integrated moving average (ARIMA) model and the combination m...
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| Veröffentlicht in: | Mathematical problems in engineering 2022-03, Vol.2022, p.1-7 |
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| creator | Xiang, Ying |
| description | It is meaningful and of certain theoretical value for the development of economy through analyzing fluctuation rules of international oil prices and forecasting the future trend of international oil prices. By composing the autoregressive integrated moving average (ARIMA) model and the combination model of autoregressive integrated moving average model-generalized autoregressive conditional heteroskedasticity (ARIMA-GARCH) for analyzing and forecasting international oil prices, study shows that the combination model of ARIMA (1,1,0)-GARCH (1,1) is more suitable for short-term forecasting of international oil prices with higher accuracy that the MAPE of forecasting has reduced from 1.549% to 0.045% and the RMSE of forecasting has reduced from 1.032 to 0.071. |
| doi_str_mv | 10.1155/2022/3936414 |
| format | Article |
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| subjects | Accuracy Autoregressive models Coronaviruses COVID-19 Crude oil Crude oil prices Economic development Economic forecasting Forecasting Hypotheses Pricing Securities markets Stochastic models Stock exchanges Time series |
| title | Using ARIMA-GARCH Model to Analyze Fluctuation Law of International Oil Price |
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