Comparative Performance of ARIMA and GARCH Model in Forecasting Crude Oil Price Data
Asian Journal of Probability and Statistics,
Page 251-275
DOI:
10.9734/ajpas/2021/v15i430378
Abstract
This study compares the performance of Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroskedasticity models in forecasting Crude Oil Price data as obtained from (CBN 2019) Statistical Bulletin. The forecasting of Crude Oil Price, plays an important role in decision making for the Nigeria government and all other sectors of her economy. Crude Oil Prices are volatile time series data, as they have huge price swings in a shortage or an oversupply period. In this study, we use two time series models which are Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heterocedasticity (GARCH) models in modelling and forecasting Crude Oil Prices. The statistical analysis was performed by the use of time plot to display the trend of the data, Autocorrelation Function (ACF), Partial Autocorrelation Functions (PACF), Dickey-Fuller test for stationarity, forecasting was done based on the best fit models for both ARIMA and GARCH models. Our result shows that ARIMA (3, 1, 2) is the best ARIMA model to forecast monthly Crude Oil Price and we also found GARCH (1, 1) model is the best GARCH model and using a specified set of parameters, GARCH (1, 1) model is the best fit for our concerned data set.
Keywords:
- Crude oil
- oil price
- ARIMA
- GARCH
- modeling.
How to Cite
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