Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models
This paper investigates the forecasting accuracy of alternative time series models when augmented with partial least-squares (PLS) components extracted from economic data, such as Federal Reserve Economic Data, as well as Monthly Database (FRED-MD). Our results indicate that PLS components extracted...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-05-01
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| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/16/11/4451 |
| _version_ | 1797597588689518592 |
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| author | Abdullah Sultan Al Shammre Benaissa Chidmi |
| author_facet | Abdullah Sultan Al Shammre Benaissa Chidmi |
| author_sort | Abdullah Sultan Al Shammre |
| collection | DOAJ |
| description | This paper investigates the forecasting accuracy of alternative time series models when augmented with partial least-squares (PLS) components extracted from economic data, such as Federal Reserve Economic Data, as well as Monthly Database (FRED-MD). Our results indicate that PLS components extracted from FRED-MD data reduce the forecasting error of linear models, such as ARIMA and SARIMA, but produce poor forecasts during high-volatility periods. In contrast, conditional variance models, such as ARCH and GARCH, produce more accurate forecasts regardless of whether or not the PLS components extracted from FRED-MD data are used. |
| first_indexed | 2024-03-11T03:07:48Z |
| format | Article |
| id | doaj.art-9bd723bfce6b4d03a2df36e8d5b93266 |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-11T03:07:48Z |
| publishDate | 2023-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-9bd723bfce6b4d03a2df36e8d5b932662023-11-18T07:49:00ZengMDPI AGEnergies1996-10732023-05-011611445110.3390/en16114451Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative ModelsAbdullah Sultan Al Shammre0Benaissa Chidmi1Economic Department, College of Business Administration, King Faisal University, Alahsa 31982, Saudi ArabiaDepartment of Agricultural & Applied Economics, Texas Tech University, Lubbock, TX 79424, USAThis paper investigates the forecasting accuracy of alternative time series models when augmented with partial least-squares (PLS) components extracted from economic data, such as Federal Reserve Economic Data, as well as Monthly Database (FRED-MD). Our results indicate that PLS components extracted from FRED-MD data reduce the forecasting error of linear models, such as ARIMA and SARIMA, but produce poor forecasts during high-volatility periods. In contrast, conditional variance models, such as ARCH and GARCH, produce more accurate forecasts regardless of whether or not the PLS components extracted from FRED-MD data are used.https://www.mdpi.com/1996-1073/16/11/4451oil price forecastingpartial least squaresARIMA-GARCHFRED data |
| spellingShingle | Abdullah Sultan Al Shammre Benaissa Chidmi Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models Energies oil price forecasting partial least squares ARIMA-GARCH FRED data |
| title | Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models |
| title_full | Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models |
| title_fullStr | Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models |
| title_full_unstemmed | Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models |
| title_short | Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models |
| title_sort | oil price forecasting using fred data a comparison between some alternative models |
| topic | oil price forecasting partial least squares ARIMA-GARCH FRED data |
| url | https://www.mdpi.com/1996-1073/16/11/4451 |
| work_keys_str_mv | AT abdullahsultanalshammre oilpriceforecastingusingfreddataacomparisonbetweensomealternativemodels AT benaissachidmi oilpriceforecastingusingfreddataacomparisonbetweensomealternativemodels |