{"title":"原油价格点预测:\"击败 \"月末随机漫步基准的尝试","authors":"Nima Nonejad","doi":"10.1007/s00181-024-02599-8","DOIUrl":null,"url":null,"abstract":"<p>The study of Ellwanger and Snudden (J Bank Financ 154:106962, 2023) discovers a new and remarkable finding regarding the ability of the random-walk model using the end-of-month price of crude oil to forecast future monthly average crude oil prices out-of-sample. The magnitude and nature of the relative predictive gains lead the authors to question whether any other model can “beat” the end-of-month price random-walk out-of-sample. I make an attempt to do so by relying on plain end-of-month crude oil price autoregressive fractionally integrated moving average (ARFIMA) models. These models are more nuanced and at the same time comprehensively account for one of the most salient features of the price of crude oil, namely, its persistence. Consequently, a forecaster is inclined to believe that they might “beat” the end-of-month random-walk model. However, out-of-sample results demonstrate that a uniform (definitive) conclusion cannot be drawn. On the contrary, conclusions depend heavily on the definition of “beating”, i.e. population-level versus finite-sample relative predictability, the forecast horizon, state of the business cycle and the choice of the crude oil price series itself. The decisions, judgments and dilemmas faced by the forecaster are presented and elaborated.</p>","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":"127 1","pages":""},"PeriodicalIF":16.4000,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark\",\"authors\":\"Nima Nonejad\",\"doi\":\"10.1007/s00181-024-02599-8\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>The study of Ellwanger and Snudden (J Bank Financ 154:106962, 2023) discovers a new and remarkable finding regarding the ability of the random-walk model using the end-of-month price of crude oil to forecast future monthly average crude oil prices out-of-sample. The magnitude and nature of the relative predictive gains lead the authors to question whether any other model can “beat” the end-of-month price random-walk out-of-sample. I make an attempt to do so by relying on plain end-of-month crude oil price autoregressive fractionally integrated moving average (ARFIMA) models. These models are more nuanced and at the same time comprehensively account for one of the most salient features of the price of crude oil, namely, its persistence. Consequently, a forecaster is inclined to believe that they might “beat” the end-of-month random-walk model. However, out-of-sample results demonstrate that a uniform (definitive) conclusion cannot be drawn. On the contrary, conclusions depend heavily on the definition of “beating”, i.e. population-level versus finite-sample relative predictability, the forecast horizon, state of the business cycle and the choice of the crude oil price series itself. The decisions, judgments and dilemmas faced by the forecaster are presented and elaborated.</p>\",\"PeriodicalId\":1,\"journal\":{\"name\":\"Accounts of Chemical Research\",\"volume\":\"127 1\",\"pages\":\"\"},\"PeriodicalIF\":16.4000,\"publicationDate\":\"2024-05-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounts of Chemical Research\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1007/s00181-024-02599-8\",\"RegionNum\":1,\"RegionCategory\":\"化学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"CHEMISTRY, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s00181-024-02599-8","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark
The study of Ellwanger and Snudden (J Bank Financ 154:106962, 2023) discovers a new and remarkable finding regarding the ability of the random-walk model using the end-of-month price of crude oil to forecast future monthly average crude oil prices out-of-sample. The magnitude and nature of the relative predictive gains lead the authors to question whether any other model can “beat” the end-of-month price random-walk out-of-sample. I make an attempt to do so by relying on plain end-of-month crude oil price autoregressive fractionally integrated moving average (ARFIMA) models. These models are more nuanced and at the same time comprehensively account for one of the most salient features of the price of crude oil, namely, its persistence. Consequently, a forecaster is inclined to believe that they might “beat” the end-of-month random-walk model. However, out-of-sample results demonstrate that a uniform (definitive) conclusion cannot be drawn. On the contrary, conclusions depend heavily on the definition of “beating”, i.e. population-level versus finite-sample relative predictability, the forecast horizon, state of the business cycle and the choice of the crude oil price series itself. The decisions, judgments and dilemmas faced by the forecaster are presented and elaborated.
期刊介绍:
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.