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Department of Energy Science & Engineering IIT Bombay April 2012 / Mumbai
Other Benchmarks are Dubai (Middle East), Tapis (Malaysia), Minas (Indonesia) and Bonny Light (Nigeria).
Source : Energy Charter Secretariat (2007) - Putting a Price on Energy International Pricing Mechanisms for Oil and Gas, p71
120
100
80
60 40 20 0 Jan Dec Dec Nov Nov Oct Oct Sep Sep Aug Aug Aug Jul Jul Jul Jul Jun Jun Jun Jun May May May May Apr Apr Apr 02, 22, 10, 23, 06, 19, 04, 17, 09, 29, 18, 08, 29, 21, 13, 05, 25, 18, 11, 04, 27, 19, 14, 02, 23, 14, 01, 198619861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011
())2 /
Success Ratio: Success Ratio measures the ability of forecast to predict the correct direction of price change.
2 ()2
1 2
; = asymptotic variance
= + 2
1 =1
; = ,
S is a N(0,1) distribution under null hypothesis and therefore we can reject Ho at 5% level if |S|>1.96
2 = ln + 2 is the maximum likelihood estimate of 2 which is variance of (t). l is the order of model 2
AIC
3.8584
1.2388
1.2443
1.2533
1.2622
1.2676
1.2757
AR (1) model
MSSE SR DM test-statistics
1.532
46.94%
-4.9460, 0.3369
1.535
48.98%
-4.8978, 0.9580
Moving Averages (MA) S (t) = co + (t) - 1 (t-1) - 2 (t-2) -- n (t-n) MA (1) model:
MSSE
4.924
SR
44.90%
DM test-statistics
1.0333, 7.3172
=1
( ) + (t) -
=1
( )
ARMA(2,1)
MSSE 1.535 SR 48.98% DM test-statistics -4.9003, 0.9640
ARMA (2,2)
MSSE 1.533 SR 48.98% DM test-statistics -4.9008, 0.9054
100
80
60
Spot Price
Random Walk
AR(1) AR(2) MA(1)
40
20
100
ARMA(1,1)
ARMA(2,1) 40 ARMA(1,2) ARMA(2,2) 20
References
Energy Charter Secretariat (2007) - Putting a Price on Energy International Pricing Mechanisms for Oil and Gas, Chapter 3. Mileva and Siegfried (2007) - Oil market structure, Network effects and the choice of currency for oil invoicing, Occasional Paper Series, European Central Bank Timmermann,Clive W.J. Granger (2004) - Efficient market hypothesis and forecasting, International Journal of Forecasting Frey, Manera, Markandya, Scarpa (2009) Econometric Models For Oil Price Forecasting: A Critical Survey, CESifo Forum 1/2009 Ruey S. Tsay (2002), Analysis of Financial Time Series Nota di Lovoro (2011) - Oil Price Forecast Evaluation with Flexible Loss Functions, Fondazione Eni enrico Mattei Alquist, Kilian, and J. Vigfusson (2011) - Forecasting the Price of Oil, Board of Governors of the Federal Reserve System, International Finance Discussion Papers EasyReg International Software was used for implementation. It can be downloaded from http://econ.la.psu.edu/~hbierens/EASYREG.HTM DM tests were performed using external file: dmtest.m file which can be downloaded from : http://www.mathworks.com/matlabcentral/fileexchange/33979-diebold-marianotest-statistic/content/dmtest.m
Thank you!