Abstract

The Box-Jenkins’ Auto Regressive Integrated Moving Average (ARIMA) modelling approach has been applied for the time series analysis of monthly average prices of Oman crude oil taken over a period of 10 years. Several seasonal and non-seasonal ARIMA models were identified. These models were then estimated and compared for their adequacy using the significance of the parameter estimates, mean square errors and Modified Box-Pierce (Ljung-Box) Chi-Square statistic. Based on these criterion a multiplicative seasonal model of the form ARIMA (1,1,5) × (1,1,1) was recommended for short term forecasting.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call