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Journal of Industrial and Systems Engineering، جلد ۹، شماره ۴، صفحات ۰-۰
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عنوان انگلیسی Comparing the performance of GARCH (p,q) models with different methods of estimation for forecasting crude oil market volatility
چکیده انگلیسی مقاله The use of GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper the efficiency of six univariate GARCH models and two methods of estimation the parameters for forecasting oil price volatility are examined and the best method for forecasting crude oil price volatility of Brent market is determined. All the examined models in this paperbelong to the univariate time series family. This article investigates and compares the efficiency of volatility models for crude oil markets. The four years out-of-sample volatility forecasts of the GARCH models are evaluated using the superior predictive ability test with more loss function. The results find that GARCH (1,1) model can outperform all of the other models for the crude oil price of Brent market across different loss functions. Four different measures are used to evaluate the forecasting accuracy of the models. Then, two methods of estimation the parameters of GARCH models, for forecasting oil price volatility are compared. The results suggest that, maximum likelihood estimation (MLE) gives better results for estimation than generalized method of moments (GMM) in this study.
کلیدواژه‌های انگلیسی مقاله GARCH (p,q),volatility,Efficiency,crude oil price
نویسندگان مقاله مریم شعبانی |
department of industrial engineering and management systems, amirkabir university of technology
سازمان اصلی تایید شده: دانشگاه صنعتی امیرکبیر (Amirkabir university of technology)

ناصر شمس قارنه | naser shams
department of industrial engineering and management systems, amirkabir university of technology
سازمان اصلی تایید شده: دانشگاه صنعتی امیرکبیر (Amirkabir university of technology)

اکبر اصفهانی پور |
department of industrial engineering and management systems, amirkabir university of technology
سازمان اصلی تایید شده: دانشگاه صنعتی امیرکبیر (Amirkabir university of technology)

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