AECO 525(3058) Time Series and Forecasting
Due: Friday, May 10, 2024
Final project: Oil price or exchange rate forecast
Apply all you learned in the class or some other methods you know to forecast the crude oil price or the exchange rate between Switzerland and U.S. (only choose one). The data can be downloaded from Brightspace. Please use the weekly data for Crude Oil Prices: West Texas Intermediate (WTI) - Cushing, Oklahoma (WCOILWTICO) or the daily data for Swiss Francs to U.S. Dollar Spot Exchange Rate (DEXSZUS). For the crude oil price, please use all the data from Feb. 1, 2002 to Mar. 22, 2024 and do the forecast for Mar. 29, 2024 to July 26, 2024. For the Swiss Francs to U.S. Dollar Spot Exchange Rate, please use the data from 1/1/2014 to 3/22/2024, and forecast the daily values for 3/25/2024 to 5/24/2024. Consider whether there exist trend, seasonality and cycles. You can also consider all other relevant economic variables. Give a detailed discussion of your model and implementation. Form both the point forecasts and interval forecasts. Keep some observations as holdout sample to examine the out of sample forecasting performance to adjust your model, then use the best model to forecast the future values. Do as best as you can. Write a comprehensive report similar to the sample reports. Also, please submit your codes. Work on the project independently. The report is expected to have around 7 pages. Please email me your report by the end of day on 5/10/2024.
Sample reports
Guha, Banhi and Bandyopadhyay, Gautam (2016) Gold price forecasting using ARIMA model. Journal of Advanced Management Science 4(2), 117-121.
Tripathy, Naliniprava (2017) Forecasting gold price with auto regressive integrated moving average model. International Journal of Economics and Financial Issues 7(4), 324-329.