Application of Markov Model in Crude Oil Price Forecasting
Application of Markov Model in Crude Oil Price Forecasting
Author(s): Nuhu Isah, Abdul Talib BonSubject(s): Energy and Environmental Studies, Financial Markets, Accounting - Business Administration
Published by: Altezoro, s. r. o. & Dialog
Keywords: forecasting; crude oil; price; Markov model;
Summary/Abstract: Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to rise. In this study, daily crude oil prices data was obtained from WTI dated 2 January to 29 May 2015. We used Markov Model (MM) approach in forecasting the crude oil prices. In this study, the analyses were done using EViews and Maple software where the potential of this software in forecasting daily crude oil prices time series data was explored. Based on the study, we concluded that MM model is able to produce accurate forecast based on a description of history patterns in crude oil prices.
Journal: Traektoriâ Nauki
- Issue Year: 3/2017
- Issue No: 08
- Page Range: 1007-1012
- Page Count: 6
- Language: English