Forecasting the Impact of the Irregular Events with DIPA Methodology

Abstract

The impact of the irregular events on oil futures markets is so great that it is even superior to the variation tendency of the time series itself. In order to forecast the influence of the irregular events on oil futures price, based on the thorough analysis of the impact process of irregular events in oil futures markets, four concepts, which include direction, intensity, persistence and attenuation model, are introduced. Then a methodology called DIPA is proposed for events impact analysis in this paper. Empirical research shows the presented method can forecast the impact of irregular events on oil futures markets more preferably.