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Forecasting interval-valued crude oil prices using asymmetric interval models. (English) Zbl 1505.91398

Summary: Practitioners and policy makers rely on accurate crude oil forecasting to avoid price risks and grasp investment opportunities, but the core of existing predictive models for such prices is based on point-valued inputs and outputs, which may suffer from informational loss of volatility. This paper addresses this issue by proposing a modified threshold autoregressive interval-valued models with interval-valued factors (MTARIX), as extended by Y. Sun et al. [J. Econom. 206, No. 2, 414–446 (2018; Zbl 1452.62681)], to analyze and forecast interval-valued crude oil prices. In contrast to point-valued data methods, MTARIX models simultaneously capture nonlinear features in price trend and volatility, and this informational gain can produce more accurate forecasts. Several interval-valued factors and point-valued threshold variables are analyzed, including supply and demand, speculation, stock market, monetary market, technical factor, and search query data. Empirical results suggest that MTARIX models with appropriate threshold variables outperform other competing forecast models (ACIX, CR-SETARX, ARX, and VARX). The findings indicate that oil price range information is more valuable than oil price level information in forecasting crude oil prices.

MSC:

91G30 Interest rates, asset pricing, etc. (stochastic models)
62P05 Applications of statistics to actuarial sciences and financial mathematics

Citations:

Zbl 1452.62681
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