原油价格点预测:"击败 "月末随机漫步基准的尝试

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY
Nima Nonejad
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引用次数: 0

摘要

Ellwanger 和 Snudden 的研究(J Bank Financ 154:106962,2023 年)发现了一个新的惊人发现,即使用原油月末价格的随机漫步模型能够预测未来原油月平均价格的样本外价格。相对预测收益的大小和性质使作者质疑是否有其他模型可以 "击败 "样本外的月末价格随机漫步模型。为此,我尝试使用简单的月末原油价格自回归分部积分移动平均(ARFIMA)模型。这些模型更加细致入微,同时还能全面解释原油价格最显著的特征之一,即其持久性。因此,预测者倾向于认为他们可以 "战胜 "月末随机漫步模型。然而,样本外结果表明,无法得出统一(确定)的结论。相反,结论在很大程度上取决于 "战胜 "的定义,即总体水平与有限样本的相对可预测性、预测期限、商业周期状态以及原油价格系列本身的选择。本文介绍并阐述了预测者面临的决定、判断和困境。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark

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.

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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
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.
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