التنبؤ بأسعار البترول باستخدام النموذج الهجين ARIMA-GARCH للمدة (2000-2020)‎

Abstract EN

In recent years, the volatility of oil prices has had a significant effect and increasingly on economic and social development.

Therefore, accurate forecasting of oil prices is useful in maintaining economic stability and avoiding risks The imbalance between supply and demand for this black gold.

This study focused on building a model for predicting oil prices, using both the ARIMA model and the ARIMA-GARCH model.

the study period was from January 2000 to Joan 2020.

Initially, the stationary series under study was studied and found to be a first-level stationary, then the ARIMA (1,1,0) model was identified and evaluated , ARCH was tested on the residuals series, where the residuals variance was found to be unstable, then we move to the modeling of the residuals from through the ARIMA-GARCH model, and we finally found that the ARIMA (1,1,0) - GARCH (1,1) model is the ideal model for predicting oil prices compared to the ARIMA(1,1,0) model, and this is based on each MSE criterion and RMSE criterion.