Forecasting WTI crude oil futures prices during the Covid-19 pandemic : application of GARCH model

Abstract EN

This study attempts to focus on forecasting WTI Crude Oil Futures price changes under the effect of external shocks, namely the COVID-19 pandemic, whose quick and widespread spread has affected global demand, by utilizing time series data.

This paper used the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model to measure the volatility and the asymmetric effects of these shocks.

The analysis found that the optimum model for forecasting WTI Crude Oil Futures prices is the TGARCH (1.

1) with student distribution.

The findings of the out-of-sample forecast revealed that Crude Oil Futures prices are steady with tiny deviations; however, the variance forecast series showed important variations during the out of the sample period.