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Cover IMF Working Papers
Forecasting Accuracy of Crude Oil Futures Prices
Mr. Manmohan S. Kumar
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.
Keywords:
WP; time series; random walk; moving average; forecasting accuracy; crude oil; oil futures prices; settlement price; futures prices accuracy; gasoline futures; price of futures contracts; crude oil price; WTI price; transactions price; futures price forecast; end-of-the-month price; Futures; Oil; Oil prices; Futures markets; Econometric models