Modelling and forecasting Oman crude oil prices using Box-Jenkins techniques
by M.I. Ahmad
International Journal of Trade and Global Markets (IJTGM), Vol. 5, No. 1, 2012

Abstract: The Box-Jenkins' Auto Regressive Integrated Moving Average (ARIMA) modelling approach has been applied for the time series analysis of monthly average prices of Oman crude oil taken over a period of 10 years. Several seasonal and non-seasonal ARIMA models were identified. These models were then estimated and compared for their adequacy using the significance of the parameter estimates, mean square errors and Modified Box-Pierce (Ljung-Box) Chi-Square statistic. Based on these criterion a multiplicative seasonal model of the form ARIMA (1,1,5)x(1,1,1) was recommended for short term forecasting.

Online publication date: Wed, 31-Dec-2014

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