Oil Price Forecasting Using Crack Spread Futures and Oil Exchange Traded Funds

• Autorzy: Hankyeung Choi , David J. Leatham , Kunlapath Sukcharoen
• Języki publikacji: EN

Abstrakty

EN

Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives products (namely, crack spread futures and the ETF crack spread) for modeling and forecasting daily OPEC crude oil spot prices is evaluated. Based on the results of a structural break test, the sample is divided into pre-crisis, crisis, and post-crisis periods. We find a unidirectional relationship from the two crack spread derivatives markets to the crude oil spot market during the post-crisis period. In terms of forecasting performance, the forecasting models based on crack spread futures and the ETF crack spread outperform the Random Walk Model (RWM), both in-sample and out-of-sample. In addition, on average, the results suggest that information from the ETF crack spread market contributes more to the forecasting models than information from the crack spread futures market.(original abstract)

Słowa kluczowe

PL

Ceny ropy naftowej; Prognozowanie cen; Model GARCH; Fundusze ETF

EN

Oil prices; Prediction of prices; GARCH model; Exchange Traded Fund (ETF)

• Czasopismo: Contemporary Economics
• Rocznik: 2015
• Tom: 9
• Numer: nr 1
• Strony: 29-44

Twórcy

autor

Hankyeung Choi

• Ministry of Strategy and Finance, Republic of Korea

autor

David J. Leatham

• Texas A&M University, Kingsville, USA

autor

Kunlapath Sukcharoen

• Texas A&M University, Kingsville, USA

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Identyfikatory

DOI

10.5709/ce.1897-9254.158