A Crude Oil Price Forecasting Model Based On Generalized Exponential Predictors

In recent years, global demand for crude oil increase drastically. Meanwhile,the price volatility of crude oil also gradually rise, which obviously have some impact on global economy.In view of the importance of crude oil price forecasting, this paper study a new model for time series of crude oil price forecasting.This paper proposes two methods for crude oil price forecasting based on generalized exponential predictors.These methods select a finite number of EWMAs of in-sample data with different parameters, then make linear combination of these EWMAs under different criteria,as the predictor of crude oil price.The experiment results show that GEP outperforms other methods proposed in previous papers.