Oil Price Factors: Forecasting on the Base of Modified ARIMA Model

2018 2nd International Conference on Power and Energy Engineering

Nyangarika, Anthony Msafiri^1,2 ; Tang, Bao-Jun^1

School Management and Economy, Beijing Institute Technology, 5 South Zhongguancun Street, Beijing

100081, China^1

Institute of Adult Education, P.O. Box 20679, Dar sea Salaam, Tanzania, Tanzania, United Republic of^2

关键词: ARIMA modeling;    Crude oil prices;    Data series;    Exponential smoothing;    Gas price;    Oil Futures Market;    Oil Prices;   

Others  :  https://iopscience.iop.org/article/10.1088/1755-1315/192/1/012058/pdf
DOI  :  10.1088/1755-1315/192/1/012058

来源: IOP

【 摘 要 】

The paper proposes the modification of ARIMA model for finding the parameters of estimation and forecasts using exponential smoothing. The study use data Brent crude oil price and gas prices in the period from January 1991 to December 2016. The result of the study showed an improvement in the accuracy of the predicted values, while the emissions occurred near the end of the time series. It has minimal or no effect on other emissions of this data series. The study suggests that investors can predict prices by analyzing the possible risks in oil futures markets.