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Price Forecasting of Crude Oil Using Box-Jenkins Method<br />

Mohamad Rusydi Bin Md. Said<br />

Supervisor: Dr. Nurfadhlina Binti Abdul Halim<br />

Bachelor of Science (Financial Mathematics)<br />

School of Informatics and Applied Mathematics<br />

Box-Jenkins method is a method that was introduced by George Box and Gwilym Jenkins<br />

in 1979. This method is one of the most popular and widely used for predictions. This<br />

study is aimed to determine the best model for forecasting crude oil commodity prices.<br />

This foreclosure is because Malaysia is still dependent on the price of international<br />

markets that are highly vulnerable to the volatility of world crude oil prices. In addition,<br />

this study was conducted to predict the price of crude oil in first 3 months of 2018. The<br />

data was taken and analyzed using the Autoregressive Integrated Moving Average<br />

(ARIMA) model. The results show that the ARIMA (1,1.0) model is the best model for<br />

predicting crude oil prices in 2018. The forecasting results were chosen based on the<br />

smallest MSE 1.27345 value and the MAPE value was 0.08%.<br />

820 | UMT UNDERGRADUATE RESEARCH DAY 2018

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