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Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models

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  • Zhongbao Zhou
  • Ke Duan
  • Ling Lin
  • Qianying Jin

Abstract

In this paper, we apply several models to forecast the WTI monthly crude oil price from the long-term and short-term aspects. Then we use several diagnostic assessments to check the predictive abilities of the competing models. The results show that EGARCH model is more suitable for the short-term forecast, while the TARCH model is more appropriate for forecasting long-term oil price than other models.

Suggested Citation

  • Zhongbao Zhou & Ke Duan & Ling Lin & Qianying Jin, 2015. "Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(4/5/6), pages 286-297.
    • Handle: RePEc:ids:ijgeni:v:38:y:2015:i:4/5/6:p:286-297
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    References listed on IDEAS

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    Cited by:

    1. Wang, Delu & Ma, Gang & Song, Xuefeng & Liu, Yun, 2017. "Energy price slump and policy response in the coal-chemical industry district: A case study of Ordos with a system dynamics model," Energy Policy, Elsevier, vol. 104(C), pages 325-339.

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