Cheng Yuxiang, Yi Jiayu, Yang Xiaoguang, Lai Kin Keung, Seco Luis
School of Economics, Peking University, Beijing, China.
School of Social Science, Nanyang Technological University, Singapore, Singapore.
Soft comput. 2022;26(17):8537-8551. doi: 10.1007/s00500-022-07276-5. Epub 2022 Jul 6.
This paper develops an integrated framework to forecast the volatility of crude oil prices by considering the impacts of extreme events (structural breaks). The impacts of extreme events are vital to improving prediction accuracy. Aiming to demonstrate the crude oil price fluctuation and the impacts of external events, this paper employs the complementary ensemble empirical mode decomposition (CEEMD). It decomposes the crude oil price into some constituents at various frequencies to extract a market fluctuation, a shock from extreme events and a long-term trend. The shock from extreme events is found to be the most crucial element in deciding the crude oil prices. Then we combine the iterative cumulative sum of squares (ICSS) test with the Chow test to get the structural breaks and analyze the extreme event impacts. Finally, this paper combines the structural breaks, the autoregressive integrated moving average (ARIMA) model, and the support vector machine (SVM) to make a forecast of the crude oil prices. The empirical process proves that the CEEMD-ARIMA-SVM model with structural breaks performs the best when compared with the other ARIMA-type models and SVM-type models. The framework offers an insightful view to help decision-makers and can be used in many areas.
The online version contains supplementary material available at 10.1007/s00500-022-07276-5.
本文通过考虑极端事件（结构突变）的影响，开发了一个综合框架来预测原油价格的波动性。极端事件的影响对于提高预测准确性至关重要。为了展示原油价格波动和外部事件的影响，本文采用了互补总体经验模态分解（CEEMD）。它将原油价格分解为不同频率的一些成分，以提取市场波动、极端事件冲击和长期趋势。发现极端事件的冲击是决定原油价格的最关键因素。然后，我们将迭代累计平方和（ICSS）检验与邹氏检验相结合，以获得结构突变并分析极端事件的影响。最后，本文将结构突变、自回归积分移动平均（ARIMA）模型和支持向量机（SVM）相结合，对原油价格进行预测。实证过程证明，与其他ARIMA类模型和SVM类模型相比，具有结构突变的CEEMD-ARIMA-SVM模型表现最佳。该框架为帮助决策者提供了有见地的观点，可用于许多领域。
在线版本包含可在10.1007/s00500-022-07276-5获取的补充材料。
