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A Risk and Forecasting Analysis of West Texas Intermediate Prices

In: Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Author

Listed:
  • David E. Allen
  • Abhay Kumar Singh

Abstract

In this chapter, we perform a two-step analysis that involves a sample of logarithmic returns formed from the daily closing prices of WTI oil prices. In the first step we employ CAViaR, a modeling approach formulated by Engle and Manganelli in 2004 which is a “value-at-risk” (VaR) modeling technique that uses quantile regression, to forecast WTI value-at-risk. In the second step we show the applicability of “support-vector regression” for oil-price prediction and compare it with more standard time-series ARIMA modeling.

Suggested Citation

  • David E. Allen & Abhay Kumar Singh, 2011. "A Risk and Forecasting Analysis of West Texas Intermediate Prices," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, chapter 10, pages 235-254, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-29810-1_10
    DOI: 10.1057/9780230298101_10
    as

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