Forecasting Accuracy of Crude Oil Futures Prices

48 Pages Posted: 15 Feb 2006

See all articles by Manmohan Kumar

Manmohan Kumar

International Monetary Fund (IMF) - Research Department

Date Written: October 1991

Abstract

This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.

JEL Classification: A10, C22, C52, E37

Suggested Citation

Kumar, Manmohan, Forecasting Accuracy of Crude Oil Futures Prices (October 1991). IMF Working Paper No. 91/93, Available at SSRN: https://ssrn.com/abstract=885065

Manmohan Kumar (Contact Author)

International Monetary Fund (IMF) - Research Department ( email )

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