Brent Crude Oil Price Forecasting by Combining Grey Theory and Econometrics Techniques

Yadegari, Hossein; Mohamadi, Teymour; Amadeh, Hamid; Ghasemi,, Abdorrasoul; Mostafaee, Hamidreza

doi:10.22054/jiee.2022.62826.1862

Document Type : Research Paper

Authors

¹ Ph.D. Student in Oil and Gas Economics, Allameh Tabataba’i University, Tehran, Iran

² Associate Professor of Economics, Allameh Tabataba’i University, Tehran, Irany

³ Associate Professor, Department of Energy Economics, Allameh Tabataba’i University, Tehran, Iran

⁴ Associate Professor, Department of Statistics, North Tehran Branch, Islamic Azad University, Tehran, Iran

https://doi.org/10.22054/jiee.2022.62826.1862

Abstract

The characteristics of crude oil and the factors affecting the price of this energy carrier have made its price forecast always considered by researchers, oil market participants, governments, and policymakers. Because the price of crude oil is affected by many factors, ongoing studies should be done to make more accurate and reliable estimates over time. In this paper, a combination of GM (1,1) and ARIMA models and a hybrid model (GM-ARIMA) for crude oil price forecasting is proposed. The Brent crude oil price data for seasonal (2015Q1-2021Q2), monthly(2020m3-2020m12), and weekly(w12-2020: w16-2021) periods were used to examine this method. The results show that based on the evaluation criteria of mean absolute error percentage (MAPE) and square mean square error (RMSE), the evaluation criteria of MAPE and RMSE in the combined GM-ARIMA model are always lower than the GM and ARIMA models alone. Therefore, the GM-ARIMA hybrid model will be able to predict more accurately than the GM and ARIMA models. Therefore, for more accurate prediction, the GM-ARIMA hybrid model can be used instead of single models.

Keywords

20.1001.1.24235954.1399.9.36.6.4

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استناد به این مقاله: یادگاری، حسین، محمدی، تیمور، آماده، حمید، قاسمی، عبدالرسول، مصطفایی، حمیدرضا. (1399). پیش‌بینی قیمت نفت خام برنت با ترکیب تکنیک‌های مبتنی بر تئوری خاکستری و اقتصادسنجی، پژوهشنامه اقتصاد انرژی ایران، 36 (9)، 149-171.

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Brent Crude Oil Price Forecasting by Combining Grey Theory and Econometrics Techniques

References

References

Volume 9, Issue 36 - Serial Number 4fallOctober 2020Pages 149-171

Volume 9, Issue 36 - Serial Number 4
fall
October 2020
Pages 149-171