Comparison of the accuracy of Box-Jenkins and Holt-Winters methods for forecasting OPEC crude oil price

Document Type : Research Paper

Authors

1 Department of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

2 Department of Management, Center Tehran Branch, Islamic Azad University, Tehran, Iran

Abstract

Various methods have recently been proposed to predict essential economic and non-economic variables. Each forecasting method has its own advantages and disadvantages based on the nature of the input data. Box-Jenkins and Halt-Winters methods are among the new approaches for increasing the accuracy of forecasting results. Therefore, this research aimed to predict OPEC average oil price data for June 2022 to May 2024 based on the data from 2003 to 2022 using Box-Jenkins and Holt-Winters methodology with a single variable. The errors of Box-Jenkins methodology, among the time series, processes ARIMA 5.1.5, ARIMA 4.1.5, ARIMA 3.1.5, and ARIMA 5.1.3 have the best accuracy with MSE of 61.86, 63.21, 63.29, and 63.62, respectively. The accuracy of the Holt-Winters method was not appropriately compared to the time series method due to the nature of the data.

Keywords

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Volume 16, Issue 4
April 2025
Pages 345-359
  • Receive Date: 03 November 2023
  • Accept Date: 30 January 2024