Back to Search
Start Over
Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models.
- Source :
-
Energies (19961073) . Jun2023, Vol. 16 Issue 11, p4451. 24p. - Publication Year :
- 2023
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 19961073
- Volume :
- 16
- Issue :
- 11
- Database :
- Academic Search Index
- Journal :
- Energies (19961073)
- Publication Type :
- Academic Journal
- Accession number :
- 164212952
- Full Text :
- https://doi.org/10.3390/en16114451