Accurate Estimated Model of Volatility Crude Oil Price

Abstract

Crude oil price (COP) data are time-series data that are assessed as having both volatility and heteroscedasticity variance. One of the best models that can be applied to address the heteroscedasticity problem is GARCH (generalized autoregressive conditional heteroscedasticity) model. The purpose of this study is to construct the best-fitted model to forecast daily COP as well as to discuss the prepared recommendation for reducing the impact of daily COP movement. Daily COP data are observed for the last decade, i.e., from 2009 to 2018. The finding with the error of less than 0.0001 is AR (1) -GARCH (1,1). The implementation of the model is applicable for both predicting the next 90 days for the COP and its anticipated impact in the future. Because of the increasing prediction, it is recommended that policymakers convert energy use to renewable energy to reduce the cost of oil use.

Impact of Oil Prices and Stock Returns: Evidence of Oil and Gas Mining Companies in Indonesia During the Covid-19 Period

“…Diaz and de Gracia's research (2016) states that the causes of changes in the determination of the cost of oil directly have a positive and critical impact on the return of the original stock of oil and gas companies in the short term and that the level of the cost of oil is so large has a positive impact on the return on the short-term stock. In contrast to the statement put forward by, Masood et al (2019), Gunarto et al (2020) argue that the occurrence of oil prices does not have a significant impact on the activities of all original stocks for all G7 countries.…”

“…This happened because the variable cost of world oil included those that had a critical impact on an oil and gas mining company in Indonesia during the Covid-19 pandemic. Where the results of this study are strengthened by statements from Huang and Mollick (2020), Ma et al (2019), Wahyono et al (2019), Diaz andde Gracia (2016), andGunarto et al (2020).…”

Modelling and Forecasting Crude Oil Prices During Covid-19 Pandemic

“…To satisfy the requirements of the GARCH(p,q) model, the first condition is to have a stationary dataset. Statistically, one measurement is by checking the data plot; if the fluctuation of the dataset is not stable around zero, it is considered as non-stationary (Gunarto et al, 2020). Dickey and Fuller (1979) introduced the Augmented Dickey-Fuller (ADF) test to check stationary data as mathematically present as follows.…”

The Relationship Between Oil Prices and Real Estate Loans and Mortgage Loans in Azerbaijan

“…Boxall et al (2005), Muehlenbachs et al (2015), Larson and Zhao (2017), Kilian and Zhou (2018), Grossman et al (2019), McCollum and Upton, (2018) focused on the impact of oil and gas on housing demand and housing supply (Grossman et al, 2017). Torres et al (2012), Pinno and Serletis (2013), Csereklyei et al (2016), Kehrig and Ziebarth (2017), Savchina (2017), Gunarto et al (2020) accept that oil prices and their uncertainty have a significant impact on overall economic activity. Jones (1999), Gentry (1994, Medlock and Soligo (2001), Liddle (2013) and Claudy and Michelsen (2016) argue that over time, oil prices and their uncertainty affect energy consumption and urbanization.…”