التنبؤ بأسعار النفط الخام في المملكة العربية السعودية باستخدام منهجية Box-Jenkins

الملخص EN

The study investigates the crude oil prices behavior over time during the weekly period from May 15th 1987 to December 1 st 2015.

The Box-Jenkins approach has been employed to build Autoregressive Integrated Moving Average (ARIMA) models to analyze and forecast the crude oil prices time series behavior.

The results of the ADF and PP unit root test indicates that the crude oil prices are non-stationary and integrated with order 1 I(1).

Furthermore, the application of Box-Jenkins approaches show that the AR(3)-GARCH(2,2) is the best model describing crude oil prices behavior.

Moreover, we examine the dynamic behavior of conditional volatility using GARCH model.

We find high fluctuations in conditional volatility related to the financial and economic crisis during the period.