Accurate Estimated Model of Volatility Crude Oil Price

Authors

  • Toto Gunarto Universitas Lampung
  • Rialdi Azhar
  • Novita Tresiana
  • Supriyanto Supriyanto
  • Ayi Ahadiat

Abstract

Crude oil price (COP) data are time-series data that are assessed as having both volatility and heteroscedasticity variance. One of the best models that can be applied to address the heteroscedasticity problem is GARCH (generalized autoregressive conditional heteroscedasticity) model. The purpose of this study is to construct the best-fitted model to forecast daily COP as well as to discuss the prepared recommendation for reducing the impact of daily COP movement. Daily COP data are observed for the last decade, i.e., from 2009 to 2018. The finding with the error of less than 0.0001 is AR (1) – GARCH (1,1). The implementation of the model is applicable for both predicting the next 90 days for the COP and its anticipated impact in the future. Because of the increasing prediction, it is recommended that policymakers convert energy use to renewable energy to reduce the cost of oil use.Keywords: Crude Oil Price, Heteroscedasticity, Subsidy, GARCH ModelJEL Classifications: C5, C53, O4, O42, Q4, Q42DOI: https://doi.org/10.32479/ijeep.9513

Downloads

Download data is not yet available.

Downloads

Published

2020-08-10

How to Cite

Gunarto, T., Azhar, R., Tresiana, N., Supriyanto, S., & Ahadiat, A. (2020). Accurate Estimated Model of Volatility Crude Oil Price. International Journal of Energy Economics and Policy, 10(5), 228–233. Retrieved from https://econjournals.org.tr/index.php/ijeep/article/view/9513

Issue

Vol. 10 No. 5 (2020)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.