Forecasting the energy commodities: an evidence of ARIMA and intervention analysis
by Miklesh Prasad Yadav; Vandana Sehgal; Deepali Ratra; Abdul Wajid
International Journal of Monetary Economics and Finance (IJMEF), Vol. 16, No. 6, 2023

Abstract: The objective of this study is to forecast energy commodity and check the intervention effect on energy commodity. Crude oil and natural gas are the proxies of energy commodities. We apply autoregressive integrated moving average (ARIMA) to forecast the daily prices and intervention analysis to check the effect of lockdown on these two commodities. An ARIMA (5,0,5) and ARIMA (5,0,4) are suitable models for forecasting the crude oil and natural gas prices. The result reveals that these commodities are forecastable, and investors can generate returns investing in these commodities. In addition, intervention analysis indicates that first lockdown in India has affected crude oil significantly but not the natural gas. This study provides an insight to the investors and policy makers while forecasting the energy commodity.

Online publication date: Tue, 16-Jan-2024

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