Study On The Forecast Modeling Of International Crude Oil Market Considering Its Complex Characteristics

Crude oil,as a type of energy and chemical material,plays an indispensable role in the development of global economy.In recent years,the fluctuations of international crude oil markets have caused significant attention around the world.But the study of crude oil markets still faces challenges.On the one hand,international crude oil market environment has become more complicated,because there are many factors increasing the uncertainty of crude oil price fluctuations except fundamentals factors.Such as the financial market.On the other hand,there are obvious long memory and structural breaks in crude oil markets,and these complex characteristics also bring great challenges to crude oil volatility forecasting.In the aspect of forecasting crude oil price,it has been proved by a large number of studies that crude oil markets are closely related to stock markets.Then there are extensive studies have used stock market information to forecast crude oil prices.But stock market can more easily derive high-frequency data than crude oil market due to no revisions,which raises a question that whether high-frequency stock market data can improve the forecast performance of crude oil prices.Therefore,in Section 4 we employed the MIDAS model and the high-frequency data of four stock market indices to forecast WTI and Brent crude oil prices at lower frequency.The results indicate that the high-frequency stock market indices have certain advantage over the lower-frequency data in forecasting monthly crude oil prices,and the MIDAS model using high-frequency data proves superior to the ordinary model.In the aspect of forecasting crude oil price volatility we employed GARCH models incorporated with structural breaks and MMGARCH model which accounting for long memory and structural breaks to forecast WTI and Brent crude oil price volatility.The results indicate that there're long memory and structural breaks in crude oil price volatility,and GARCH models(e.g.,MMGARCH model)that can capture long memory and structural breaks are more suitable for forecasting oil price volatility.In this paper,we discussed the features of crude oil market price and oil price volatility and also improved the crude oil price and oil price volatility forecasting theory.Meanwhile,our conclusions can also provide some decision-making support for policy makers and crude oil market participants.