The use of GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper the efficiency of six univariate GARCH models and two methods of estimation the parameters for forecasting oil price volatility are examined and the best method for forecasting crude oil price volatility of Brent market is determined. All the examined models in this p...

This paper proposes a new method for crude oil price forecasting based on support vector machine (SVM). The procedure of developing a support vector machine model for time series forecasting involves data sampling, sample preprocessing, training & learning and out-of-sample forecasting. To evaluate the forecasting ability of SVM, we compare its performance with those of ARIMA and BPNN. The expe...

In this paper, a hybrid model integrating wavelet and least squares support machines (LSSVM) is proposed for crude oil price forecasting. In this model, Haar à trous wavelet transform is first selected to decompose an original time series into several sub-series with different scales. Then the LSSVM is used to predict each sub-series. And the final oil price forecasting is obtained by reconstru...

This work examines recent publications in forecasting in various fields, these include: wind power forecasting; electricity load forecasting; crude oil price forecasting; gold price forecasting energy price forecasting etc. In this review, categorization of the processes involve in forecasting are divided into four major steps namely: input features selection; data pre-processing; forecast mode...

This paper presents a hybrid wavelet support vector machines (WSVM) model that combines both wavelet technique and the SVM model for crude oil price forecasting. Based on the purpose, the main time series was decomposed to some multi-frequently time series by wavelet theory and these time series were imposed as input data to the SVM for forecasting of crude oil price series. To assess the effec...

This paper examines the forward pricing efficiency of the local crude palm oil (CPO) futures market. In an efficient market, the relevant signal to be used by -the producers, traders and processors is simply the futures price. The forward pricing efficiency is measured in terms of the forecasting ability of Malaysian crude palm oil futures price on physical price. The relative predictive power ...

Fluctuations in crude oil price significantly impact the global economic market. A rise or a fall leads to redistribution of wealth in both oil-exporting and importing countries. Under such background, efficient and accurate predictions for crude oil price are critical for a stable economic development. However, crude oil price forecasting has been proved to be an extremely tough task, due to i...

Palm oil is the most consumed and traded vegetable oils in the EU and the world. Increasing non-food uses for vegetable oils in especially feedstock of biofuels in recent years have caused the price volatility to rise in both EU and global market. The most efficient pricing of crude palm oil (CPO) is to found on Bursa Malaysia (BMD), and it provides by far the world’s most liquid palm oil contr...