Open AccessModelling and forecasting monthly crude oil price of Pakistan: A comparative study of ARIMA, GARCH and ARIMA Kalman model
Author(s) -
Muhammad Aamir,
Ani Shabri
Publication year - 2016
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.4954620
Subject(s) - autoregressive integrated moving average , autoregressive conditional heteroskedasticity , box–jenkins , econometrics , mean squared error , kalman filter , crude oil , mean absolute percentage error , mean absolute error , time series , statistics , moving average , west texas intermediate , computer science , mathematics , volatility (finance) , engineering , petroleum engineering
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