https://scholars.lib.ntu.edu.tw/handle/123456789/52403
標題: | 原油價格組合預測模型之建構 Forecasting Crude Oil Price: A Forecast Combination Approach |
作者: | 林正偉 Lin, Cheng-Wei |
關鍵字: | 組合預測;油價預測;月均價;月底價;no-change 預測;AIC;BIC;AICc;HQ;HDBIC;CV;MMA;JMA;PIA;MSPE;MAPE;Working effect;Forecast combination;Forecast oil price;Monthly-averaged price;End-of-month price;No-change forecast | 公開日期: | 2016 | 摘要: | 本文試以多種組合預測方法,評估多個文獻中曾提及的預測變數對原油月均價、月底價的預測效果,使用資料期間為1986:M2至2015:M10。根據Working (1960)闡述月均價格變動的前後期將會有相關性,本研究導入一個新變數用於預測原油月均價,其結果顯著優於no-change預測,使MSPE降低幅度達39%。此外,以過去文獻提及的預測變數來預測原油月底價時,預測效果集中於特定期間,無法於整體評估期間保持預測能力。同時,文獻上計算MSPE時有兩種算法,在預測效果於期間內並非均勻分布的情況下,將可能使兩種算法所得的MSPE Ratio有所差異,且此MSPE Ratio差異的大小亦與評估期間的選取有關。 This article uses monthly data from 1986:M2 to 2016:M10 to examine the predictive power for both monthly-averaged oil prices and end-of-month oil prices by multiple forecast combination methods. According to Working (1960) , our work derive a new predictor of monthly-averaged oil prices which can significantly reduce the MSPE by 39% compare with no-change forecast. When forecasting the end-of-month oil prices, the predictive power only exists in a certain period, can''t hold the power for the whole evaluation period. Our work explain the relationship between MSPE calculated with two different ways. Because the predictive power only exists in a certain period, there would be some different between MSPE Ratio of two kinds of MSPE calculation ways.This difference would be correlated with the choice of evaluation period. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/275280 | DOI: | 10.6342/NTU201601209 | Rights: | 論文公開時間: 2016/8/26 論文使用權限: 同意無償授權 |
顯示於: | 經濟學系 |
檔案 | 描述 | 大小 | 格式 | |
---|---|---|---|---|
ntu-105-R01323072-1.pdf | 23.54 kB | Adobe PDF | 檢視/開啟 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。