Markov Switching Autoregressive Model for WTI Crude Oil Price

Year 2018, Volume: 14 Issue: 28, 45 - 56, 31.07.2018

Çiğdem Yılmaz , Nilgün Çil

Abstract

In this study, we aimed to test the nonlinear structure of crude oil prices with Markov Regime Switching Autoregressive

Models. In the study of weekly prices covering the period from May 06, 1990 to April 11, 2018, a two-regime Markov

switching model was applied. In the case of two regimes, we proved the that the probability the process will be in regime

1 or 2 is given by steady-state probabilities. As a result, it can be seen that the predictions made by the Markov switching

autoregressive model were succesful.

Keywords

Regime change, Markov Switching Autoregressive Models, Crude Oil

WTI (West Texas Intermediate) Ham Petrol Fiyatları için Markov Rejim Değişim Otoregresif Modeli

Abstract

Bu araştırma ile ham petrol fiyatının doğrusal olmayan yapısını Markov
Rejim Değişim Otoregresif Modelleriyle test etmek amaçlanmıştır. 06 Mayıs
1990'dan 11 Nisan 2018'e kadar olan dönemi kapsayan, haftalık fiyatların
kullanıldığı çalışmada, iki rejimli Markov Switching Modeli uygulanmıştır. İki
rejim durumunda sürecin rejim 1 veya rejim 2'de olacağı kararlı yapı
olasılıkları ile kanıtlanmıştır. Sonuç olarak ise, Markov Rejim Değişim Modeli
ile yapılan öngörünün başarılı sonuçlar verdiği görülmüştür.

Keywords

Rejim değişim, Markov Rejim Değişim Otoregresif Modelleri, Ham petrol, Lineer-olmayan, Durağanlık durumu

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