In this paper it is shown how the GARCH properties of oil price changes can be employed to forecast the oil price distribution over short-term horizons. The forecasting methodology is semiparametric and it is based on the bootstrap approach. The results of an out-of-sample forecasting exercise, carried out using the Brent oil price series, suggest that the forecasting approach can be used to obtain a performance measure for the forward price, in addition to compute interval forecasts for the oil price. © 2001 Elsevier Science B.V. All rights reserved.
Morana, C. (2001). A semiparametric approach to short-term oil price forecasting. ENERGY ECONOMICS, 23(3), 325-338 [10.1016/s0140-9883(00)00075-x].
A semiparametric approach to short-term oil price forecasting
Morana, Claudio
2001
Abstract
In this paper it is shown how the GARCH properties of oil price changes can be employed to forecast the oil price distribution over short-term horizons. The forecasting methodology is semiparametric and it is based on the bootstrap approach. The results of an out-of-sample forecasting exercise, carried out using the Brent oil price series, suggest that the forecasting approach can be used to obtain a performance measure for the forward price, in addition to compute interval forecasts for the oil price. © 2001 Elsevier Science B.V. All rights reserved.
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