Weekly Crude Oil Spot Price Forecasting Using Oil Inventories and Stock Market Indexes

• Activity Number: 133
• Type: Contributed
• Date/Time: Monday, July 30, 2012 : 8:30 AM to 10:20 AM
• Sponsor: Business and Economic Statistics Section
• Author(s): Myung Suk Kim*+
• Companies: Sogang University
• Keywords: Crude oil prices ; Forecasting ; SNP 500 index ; U.S. stocks of crude oil ; AR-GARCH

Abstract

The world crude oil prices seem to seriously fluctuate recent years, which causes plenty of failures of forecasting models. We suggest including the U.S. stocks of crude oil and S&P 500 index in a regression model with AR-GARCH type error structure for forecasting the weekly crude oil spot prices in eleven international markets. The U.S. stocks of crude oil and S&P 500 index seem to affect supplies and demands in the world oil markets, respectively. The U.S. stocks of crude oil tend to influence the improvement of prediction accuracy of all the eleven international market oil prices relatively more than the S&P 500 index when the oil prices rise on year 2009. On the other hand, the S&P 500 index relatively tends to improve the prediction accuracy of many international oil market prices more than the U.S. oil inventories when the oil prices fall on year 2008.