Artikel
Oil price forecasting using crack spread futures and oil exchange traded funds
Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives products (namely, crack spread futures and the ETF crack spread) for modeling and forecasting daily OPEC crude oil spot prices is evaluated. Based on the results of a structural break test, the sample is divided into pre-crisis, crisis, and post-crisis periods. We find a unidirectional relationship from the two crack spread derivatives markets to the crude oil spot market during the post-crisis period. In terms of forecasting performance, the forecasting models based on crack spread futures and the ETF crack spread outperform the Random Walk Model (RWM), both in-sample and out-of-sample. In addition, on average, the results suggest that information from the ETF crack spread market contributes more to the forecasting models than information from the crack spread futures market.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Contemporary Economics ; ISSN: 2084-0845 ; Volume: 9 ; Year: 2015 ; Issue: 1 ; Pages: 29-44 ; Warsaw: Vizja Press & IT
- Klassifikation
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Wirtschaft
Methodological Issues: General
Financial Econometrics
Financial Forecasting and Simulation
Energy Forecasting
- Thema
-
oil price forecasting
crack spread futures
oil-related exchange traded funds
multivariate GARCH model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Choi, Hankyeung
Leatham, David J.
Sukcharoen, Kunlapath
- Ereignis
-
Veröffentlichung
- (wer)
-
Vizja Press & IT
- (wo)
-
Warsaw
- (wann)
-
2015
- DOI
-
doi:10.5709/ce.1897-9254.158
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Choi, Hankyeung
- Leatham, David J.
- Sukcharoen, Kunlapath
- Vizja Press & IT
Entstanden
- 2015
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