ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series

The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Gewe...
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Autor*in:	Jibrin, Sanusi A. [verfasserIn] Musa, Yakubu [verfasserIn] Zubair, Umar A. [verfasserIn] Saidu, Ahmed S. [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	December 2015

Übergeordnetes Werk:	Enthalten in: CBN journal of applied statistics - Abuja : Central Bank of Nigeria, 2012, 6(2015), 2 vom: Dez., Seite 59-79
Übergeordnetes Werk:	volume:6 ; year:2015 ; number:2 ; month:12 ; pages:59-79

Links:	Volltext Volltext

Katalog-ID:	859169502

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allfields	10419/142106 hdl (DE-627)859169502 (DE-599)GBV859169502 DE-627 ger DE-627 rda eng C22 C50 , D12 jelc Jibrin, Sanusi A. verfasserin aut ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series Sanusi A. Jibrin, Yakubu Musa, Umar A. Zubair and Ahmed S. Saidu December 2015 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the crude oil prices. For WTI series, the Bayes Information Criteria selected 3 breaks with the first, second and last breaks captured in 1999, 2004 and 2008 respectively. Three breaks in Brent series using the Bayes Information Criteria were selected and this pointed out that Brent series has break points in 1999, 2005 and 2009. Numerous ARFIMA models were identified, selected using Akaike Information Criterion, estimated/check, in sample and out sample forecast was carried out using Box and Jenkins methodology. ARFIMA(1,0.47,2) is appropriate for West Texas Intermediate series while ARFIMA(2,0.09,0) is suitable for Brent series. One year in sample forecast indicates a small difference between the original series and the forecast results. The one year out sample forecast revealed a decline in future crude oil prices which may be good news to the consumers and bad news to the producers. Musa, Yakubu verfasserin aut Zubair, Umar A. verfasserin aut Saidu, Ahmed S. verfasserin aut Enthalten in CBN journal of applied statistics Abuja : Central Bank of Nigeria, 2012 6(2015), 2 vom: Dez., Seite 59-79 Online-Ressource (DE-627)858901404 (DE-600)2854997-1 (DE-576)469408812 2476-8472 nnns volume:6 year:2015 number:2 month:12 pages:59-79 http://hdl.handle.net/10419/142106 Resolving-System Volltext http://www.cenbank.org/Out/2016/SD/ARFIMA%20Modelling%20and%20Investigation%20of%20Structural%20Breaks%20in%20West%20Texas%20Intermediate%20and%20Brent%20Series.pdf Verlag Volltext GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 6 2015 2 12 59-79 26 01 0206 1615695664 x1k 12-05-16 26 00 DE-206 56 ARFIMA model 26 00 DE-206 56 Structural breaks 26 00 DE-206 56 Long memory 26 00 DE-206 56 Local Whittle Estimator and Crude oil prices
spelling	10419/142106 hdl (DE-627)859169502 (DE-599)GBV859169502 DE-627 ger DE-627 rda eng C22 C50 , D12 jelc Jibrin, Sanusi A. verfasserin aut ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series Sanusi A. Jibrin, Yakubu Musa, Umar A. Zubair and Ahmed S. Saidu December 2015 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the crude oil prices. For WTI series, the Bayes Information Criteria selected 3 breaks with the first, second and last breaks captured in 1999, 2004 and 2008 respectively. Three breaks in Brent series using the Bayes Information Criteria were selected and this pointed out that Brent series has break points in 1999, 2005 and 2009. Numerous ARFIMA models were identified, selected using Akaike Information Criterion, estimated/check, in sample and out sample forecast was carried out using Box and Jenkins methodology. ARFIMA(1,0.47,2) is appropriate for West Texas Intermediate series while ARFIMA(2,0.09,0) is suitable for Brent series. One year in sample forecast indicates a small difference between the original series and the forecast results. The one year out sample forecast revealed a decline in future crude oil prices which may be good news to the consumers and bad news to the producers. Musa, Yakubu verfasserin aut Zubair, Umar A. verfasserin aut Saidu, Ahmed S. verfasserin aut Enthalten in CBN journal of applied statistics Abuja : Central Bank of Nigeria, 2012 6(2015), 2 vom: Dez., Seite 59-79 Online-Ressource (DE-627)858901404 (DE-600)2854997-1 (DE-576)469408812 2476-8472 nnns volume:6 year:2015 number:2 month:12 pages:59-79 http://hdl.handle.net/10419/142106 Resolving-System Volltext http://www.cenbank.org/Out/2016/SD/ARFIMA%20Modelling%20and%20Investigation%20of%20Structural%20Breaks%20in%20West%20Texas%20Intermediate%20and%20Brent%20Series.pdf Verlag Volltext GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 6 2015 2 12 59-79 26 01 0206 1615695664 x1k 12-05-16 26 00 DE-206 56 ARFIMA model 26 00 DE-206 56 Structural breaks 26 00 DE-206 56 Long memory 26 00 DE-206 56 Local Whittle Estimator and Crude oil prices
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allfieldsGer	10419/142106 hdl (DE-627)859169502 (DE-599)GBV859169502 DE-627 ger DE-627 rda eng C22 C50 , D12 jelc Jibrin, Sanusi A. verfasserin aut ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series Sanusi A. Jibrin, Yakubu Musa, Umar A. Zubair and Ahmed S. Saidu December 2015 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the crude oil prices. For WTI series, the Bayes Information Criteria selected 3 breaks with the first, second and last breaks captured in 1999, 2004 and 2008 respectively. Three breaks in Brent series using the Bayes Information Criteria were selected and this pointed out that Brent series has break points in 1999, 2005 and 2009. Numerous ARFIMA models were identified, selected using Akaike Information Criterion, estimated/check, in sample and out sample forecast was carried out using Box and Jenkins methodology. ARFIMA(1,0.47,2) is appropriate for West Texas Intermediate series while ARFIMA(2,0.09,0) is suitable for Brent series. One year in sample forecast indicates a small difference between the original series and the forecast results. The one year out sample forecast revealed a decline in future crude oil prices which may be good news to the consumers and bad news to the producers. Musa, Yakubu verfasserin aut Zubair, Umar A. verfasserin aut Saidu, Ahmed S. verfasserin aut Enthalten in CBN journal of applied statistics Abuja : Central Bank of Nigeria, 2012 6(2015), 2 vom: Dez., Seite 59-79 Online-Ressource (DE-627)858901404 (DE-600)2854997-1 (DE-576)469408812 2476-8472 nnns volume:6 year:2015 number:2 month:12 pages:59-79 http://hdl.handle.net/10419/142106 Resolving-System Volltext http://www.cenbank.org/Out/2016/SD/ARFIMA%20Modelling%20and%20Investigation%20of%20Structural%20Breaks%20in%20West%20Texas%20Intermediate%20and%20Brent%20Series.pdf Verlag Volltext GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 6 2015 2 12 59-79 26 01 0206 1615695664 x1k 12-05-16 26 00 DE-206 56 ARFIMA model 26 00 DE-206 56 Structural breaks 26 00 DE-206 56 Long memory 26 00 DE-206 56 Local Whittle Estimator and Crude oil prices
allfieldsSound	10419/142106 hdl (DE-627)859169502 (DE-599)GBV859169502 DE-627 ger DE-627 rda eng C22 C50 , D12 jelc Jibrin, Sanusi A. verfasserin aut ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series Sanusi A. Jibrin, Yakubu Musa, Umar A. Zubair and Ahmed S. Saidu December 2015 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the crude oil prices. For WTI series, the Bayes Information Criteria selected 3 breaks with the first, second and last breaks captured in 1999, 2004 and 2008 respectively. Three breaks in Brent series using the Bayes Information Criteria were selected and this pointed out that Brent series has break points in 1999, 2005 and 2009. Numerous ARFIMA models were identified, selected using Akaike Information Criterion, estimated/check, in sample and out sample forecast was carried out using Box and Jenkins methodology. ARFIMA(1,0.47,2) is appropriate for West Texas Intermediate series while ARFIMA(2,0.09,0) is suitable for Brent series. One year in sample forecast indicates a small difference between the original series and the forecast results. The one year out sample forecast revealed a decline in future crude oil prices which may be good news to the consumers and bad news to the producers. Musa, Yakubu verfasserin aut Zubair, Umar A. verfasserin aut Saidu, Ahmed S. verfasserin aut Enthalten in CBN journal of applied statistics Abuja : Central Bank of Nigeria, 2012 6(2015), 2 vom: Dez., Seite 59-79 Online-Ressource (DE-627)858901404 (DE-600)2854997-1 (DE-576)469408812 2476-8472 nnns volume:6 year:2015 number:2 month:12 pages:59-79 http://hdl.handle.net/10419/142106 Resolving-System Volltext http://www.cenbank.org/Out/2016/SD/ARFIMA%20Modelling%20and%20Investigation%20of%20Structural%20Breaks%20in%20West%20Texas%20Intermediate%20and%20Brent%20Series.pdf Verlag Volltext GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 6 2015 2 12 59-79 26 01 0206 1615695664 x1k 12-05-16 26 00 DE-206 56 ARFIMA model 26 00 DE-206 56 Structural breaks 26 00 DE-206 56 Long memory 26 00 DE-206 56 Local Whittle Estimator and Crude oil prices
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author	Jibrin, Sanusi A.
spellingShingle	Jibrin, Sanusi A. jelc C22 26 ARFIMA model 26 Structural breaks 26 Long memory 26 Local Whittle Estimator and Crude oil prices ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series
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topic_title	C22 C50 , D12 jelc 26 00 DE-206 56 ARFIMA model 26 00 DE-206 56 Structural breaks 26 00 DE-206 56 Long memory 26 00 DE-206 56 Local Whittle Estimator and Crude oil prices ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series Sanusi A. Jibrin, Yakubu Musa, Umar A. Zubair and Ahmed S. Saidu
topic	jelc C22 26 ARFIMA model 26 Structural breaks 26 Long memory 26 Local Whittle Estimator and Crude oil prices
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title	ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series
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title_full	ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series Sanusi A. Jibrin, Yakubu Musa, Umar A. Zubair and Ahmed S. Saidu
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title_sort	arfima modelling and investigation of structural break(s) in west texas intermediate and brent series
title_auth	ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series
abstract	The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the crude oil prices. For WTI series, the Bayes Information Criteria selected 3 breaks with the first, second and last breaks captured in 1999, 2004 and 2008 respectively. Three breaks in Brent series using the Bayes Information Criteria were selected and this pointed out that Brent series has break points in 1999, 2005 and 2009. Numerous ARFIMA models were identified, selected using Akaike Information Criterion, estimated/check, in sample and out sample forecast was carried out using Box and Jenkins methodology. ARFIMA(1,0.47,2) is appropriate for West Texas Intermediate series while ARFIMA(2,0.09,0) is suitable for Brent series. One year in sample forecast indicates a small difference between the original series and the forecast results. The one year out sample forecast revealed a decline in future crude oil prices which may be good news to the consumers and bad news to the producers.
abstractGer	The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the crude oil prices. For WTI series, the Bayes Information Criteria selected 3 breaks with the first, second and last breaks captured in 1999, 2004 and 2008 respectively. Three breaks in Brent series using the Bayes Information Criteria were selected and this pointed out that Brent series has break points in 1999, 2005 and 2009. Numerous ARFIMA models were identified, selected using Akaike Information Criterion, estimated/check, in sample and out sample forecast was carried out using Box and Jenkins methodology. ARFIMA(1,0.47,2) is appropriate for West Texas Intermediate series while ARFIMA(2,0.09,0) is suitable for Brent series. One year in sample forecast indicates a small difference between the original series and the forecast results. The one year out sample forecast revealed a decline in future crude oil prices which may be good news to the consumers and bad news to the producers.
abstract_unstemmed	The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and Geweke and Porter-Hudak identified long memory characteristics in the crude oil prices. For WTI series, the Bayes Information Criteria selected 3 breaks with the first, second and last breaks captured in 1999, 2004 and 2008 respectively. Three breaks in Brent series using the Bayes Information Criteria were selected and this pointed out that Brent series has break points in 1999, 2005 and 2009. Numerous ARFIMA models were identified, selected using Akaike Information Criterion, estimated/check, in sample and out sample forecast was carried out using Box and Jenkins methodology. ARFIMA(1,0.47,2) is appropriate for West Texas Intermediate series while ARFIMA(2,0.09,0) is suitable for Brent series. One year in sample forecast indicates a small difference between the original series and the forecast results. The one year out sample forecast revealed a decline in future crude oil prices which may be good news to the consumers and bad news to the producers.
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title_short	ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series
url	http://hdl.handle.net/10419/142106 http://www.cenbank.org/Out/2016/SD/ARFIMA%20Modelling%20and%20Investigation%20of%20Structural%20Breaks%20in%20West%20Texas%20Intermediate%20and%20Brent%20Series.pdf
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ARFIMA modelling and investigation of structural break(s) in West Texas Intermediate and Brent series

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