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Multi-model Forecasts of the West Texas Intermediate Crude Oil Spot Price

Ryan, Laura; Whiting, Bronwen

Description

We measure the performance of multi-model inference (MMI) forecasts compared to predictions made from a single model for crude oil prices. We forecast the West Texas Intermediate (WTI) crude oil spot prices using total OECD petroleum inventory levels, surplus production capacity, the Chicago Board Options Exchange Volatility Index and an implementation of a subset autoregression with exogenous variables (SARX). Coefficient and standard error estimates obtained from SARX determined by...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
URI: http://hdl.handle.net/1885/243963
Source: Journal of Forecasting
DOI: 10.1002/for.2440

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