ARIMA and ARFIMA Prediction of Persian Gulf Gas-Oil F.O.B

Subject Areas : Journal of Investment Knowledge

H. Amadeh ¹ (Assistant Professor of Allame Tabatabaee University)
A. Amini ² (M.A. of Energy Economics, Allame Tabatabaee University (Corresponding Author))
F. Effati ³ (M.A. of Energy Economics, Allame Tabatabaee University)

Received: 2013-06-15 Accepted : 2013-08-16 Published : 2013-08-16

Keywords: Gas-oil, ARIMA, ARFIMA, F.O.B price of Persian Gulf, Prediction,

Abstract :

Gas-oil is one of the most important energy carriers and the changes in its prices could have significant effects in economic decisions. The price of this carrier should not be more than 90 percent of F.O.B price of Persian Gulf, legislated in subsidizes regulation law in Iran. Time series models have been used to forecast various phenomena in many fields. In this paper we fit time series models to forecast the weekly gas-oil prices using ARIMA and ARFIMA models and make predictions of each category. Data used in this paperstarted with the first week of  the year 2009 until the first week of 2012 for fitting the model and the second week of 2012 until 13th week of 2012 for predicting the values, are extracted from the OPEC website. Our results indicate that the ARFIMA(0.0.-19,1) model appear to be the better model than ARIMA(1,1,0)and the error criterions RMSE, MSE and MAPE for the forecasted amounts is given after the predictions, respectively