Reliable forecasts of the price of oil are of interest for a wide range of applications. For example, central banks and private sector forecasters view the price of oil as one of the key variables in generating macroe...Reliable forecasts of the price of oil are of interest for a wide range of applications. For example, central banks and private sector forecasters view the price of oil as one of the key variables in generating macroeconomic projections and in assessing macroeconomic risks. Of particular interest is the question of the extent to which the price of oil is helpful in predicting recessions. This paper presents a statistical learning method （SLM） based on combined fuzzy system （FS）, artificial neural network （ANN）, and support vector regression （SVR） to cope with optimum long-term oil price forecasting in noisy, uncertain, and complex environments. A number of quantitative factors were discovered from this model and used as the input. For verification and testing, the West Texas Intermediate （WT1） crude oil spot price is used to test the effectiveness of the proposed learning methodology. Empirical results reveal that the proposed SLM-based forecasting can model the nonlinear relationship between the input variables and price very well. Furthermore, in-sample and out-of-sample prediction performance also demonstrates that the proposed SLM model can produce more accurate prediction results than other nonlinear models.展开更多
In this paper, the authors analyze the adequacy of GARCH-type models to analyze oil price behavior by applying two types of non-parametric tests, the Hinich portmanteau test for non-linear dependence and a frequency-d...In this paper, the authors analyze the adequacy of GARCH-type models to analyze oil price behavior by applying two types of non-parametric tests, the Hinich portmanteau test for non-linear dependence and a frequency-dominant test of time reversibility, the reverse test based on the bispectrum, to explore the high-order spectrum properties of the Mexican oil price series. The results suggest strong evidence of a non-linear structure and time irreversibility. Therefore, it does not comply with the i.i.d （independent and identically distributed） property. The non-linear dependence, however, is not consistent throughout the sample period, as indicated by a windowed test, suggesting episodic nonlinear dependence. The results imply that GARCH models cannot capture the series structure.展开更多
文摘Reliable forecasts of the price of oil are of interest for a wide range of applications. For example, central banks and private sector forecasters view the price of oil as one of the key variables in generating macroeconomic projections and in assessing macroeconomic risks. Of particular interest is the question of the extent to which the price of oil is helpful in predicting recessions. This paper presents a statistical learning method （SLM） based on combined fuzzy system （FS）, artificial neural network （ANN）, and support vector regression （SVR） to cope with optimum long-term oil price forecasting in noisy, uncertain, and complex environments. A number of quantitative factors were discovered from this model and used as the input. For verification and testing, the West Texas Intermediate （WT1） crude oil spot price is used to test the effectiveness of the proposed learning methodology. Empirical results reveal that the proposed SLM-based forecasting can model the nonlinear relationship between the input variables and price very well. Furthermore, in-sample and out-of-sample prediction performance also demonstrates that the proposed SLM model can produce more accurate prediction results than other nonlinear models.
文摘In this paper, the authors analyze the adequacy of GARCH-type models to analyze oil price behavior by applying two types of non-parametric tests, the Hinich portmanteau test for non-linear dependence and a frequency-dominant test of time reversibility, the reverse test based on the bispectrum, to explore the high-order spectrum properties of the Mexican oil price series. The results suggest strong evidence of a non-linear structure and time irreversibility. Therefore, it does not comply with the i.i.d （independent and identically distributed） property. The non-linear dependence, however, is not consistent throughout the sample period, as indicated by a windowed test, suggesting episodic nonlinear dependence. The results imply that GARCH models cannot capture the series structure.
