Volume : III, Issue : V, May - 2014

Choosing A Suitable Garch Specification for Predicting The Crude Oil Future Return

Ankur Srivastava, Dr. Prasant Sarangi

Abstract :

he present paper predicts the crude oil return series data by using twenty different GARCH specifications of models. The validity of the models is examined by using four important forecasting error measures. From the findings, it is concluded that GARCH (3,3) model better suits for forecasting the crude oil return series. MSE is found to be bettersuitable model to estimate forecasting error for the estimated serie

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Article: Download PDF   DOI : 10.36106/ijsr  

Cite This Article:

ANKUR SRIVASTAVA, DR. PRASANT SARANGI/Choosing A Suitable Garch Specification for Predicting The Crude Oil Future Return/International Journal of Scientific Research, Vol.3, Issue. 5, May 2014

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