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

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 ۲۰۲۲ to May ۲۰۲۴ based on the data from ۲۰۰۳ to ۲۰۲۲ using Box-Jenkins and Holt-Winters methodology with a single variable. The errors of Box-Jenkins methodology, among the time series, processes ARIMA ۵.۱.۵, ARIMA ۴.۱.۵, ARIMA ۳.۱.۵, and ARIMA ۵.۱.۳ have the best accuracy with MSE of ۶۱.۸۶, ۶۳.۲۱, ۶۳.۲۹, and ۶۳.۶۲, respectively. The accuracy of the Holt-Winters method was not appropriately compared to the time series method due to the nature of the data.

کلیدواژه ها:

Forecasting ، time series ، Box-Jenkins ، Holt-Winters