Relative Performance Evaluation of Competing Crude Oil Prices’ Volatility Forecasting Models: A Slacks-Based Super-Efficiency DEA Model
نویسندگان
چکیده
منابع مشابه
Relative Performance Evaluation of Competing Crude Oil Prices’ Volatility Forecasting Models: A Slacks-Based Super-Efficiency DEA Model
With the increasing number of quantitative models available to forecast the volatility of crude oil prices, the assessment of the relative performance of competing models becomes a critical task. Our survey of the literature revealed that most studies tend to use several performance criteria to evaluate the performance of competing forecasting models; however, models are compared to each other ...
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Forecasting crude oil price volatility is an important issues in risk management. The historical course of oil price volatility indicates the existence of a cluster pattern. Therefore, GARCH models are used to model and more accurately predict oil price fluctuations. The purpose of this study is to identify the best GARCH model with the best performance in different time horizons. To achieve th...
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ژورنال
عنوان ژورنال: American Journal of Operations Research
سال: 2014
ISSN: 2160-8830,2160-8849
DOI: 10.4236/ajor.2014.44023