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

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.

Markov Switching Autoregressive Model for WTI Crude Oil Price

In this study, we aimed to test the nonlinear structure of crude oil prices with Markov Regime Switching AutoregressiveModels. In the study of weekly prices covering the period from May 06, 1990 to April 11, 2018, a two-regime Markovswitching model was applied. In the case of two regimes, we proved the that the probability the process will be in regime1 or 2 is given by steady-state probabilities. As a result, it can be seen that the predictions made by the Markov switchingautoregressive model were succesful.

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