TY  - BOOK
AU  - Choong,Tuck Oon
AU  - Huynh,Ngoc Phien
AU  - Hertzmark,Donald
AU  - Shanker,Kripa
ED  - Th e Government of Australia, 
TI  - A computer package for time series analysis and its application to forecasting fuel oil prices on the Singapore spot market
T2  - Thesis
PY  - 1984///
CY  - Bangkok
PB  - Asian Institute of Technology
KW  - Time-series analysis
KW  - Computer programs
KW  - Petroleum products
KW  - Prices
KW  - Singapore
N1  - A thesis submitted in partial fulfillment of the requirements for the degree of Master of Science, School of Engineering and Technology; Thesis (M.Sc.) - Asian Institute of Technology, 1984
N2  - Recent studies into the petroleum marketing system have been largely structural in nature, applying various econometric methods in the model formulation process. Their scope has been confined to the European market and to analyze the petroleum products on an aggregated basis. This thesis is concerned with the application of the Box -Jenkins time series analysis methodology to the development of a trading model for short-term forecasting of weekly Fuel Oil prices on the Singapore spot market . A univariate Autoregressive-Integrated-Moving-Average (ARIMA) model was first  formulated using data of its own price series. This was then  extended to include a postulated causal element by the  development of a transfer-function-noise model with Arabian Light spot prices as a leading indicator. An empirical analysis of the out-of-sample one-week-ahead to  twelve-weeks-ahead forecasts errors indicated that the univariate model has better predictive power than the transfer-function noise model. The mean absolute· percentage error varies between 0.6-1.6% for the univariate model a nd between 0.9-2.9% for the  transfer-function-noise model. This thesis has shown that the Fuel Oil spot market is more  sensitive to its own price changes with a shorter "memory" as compared to the Arabian Light spot market. The effect of the variation in the Arabian Light spot prices on the Fuel Oil spot prices is also relatively small. Both the weekly Fuel Oil and Arabian Light spot prices exhibit strong seasonality with a seasonal period of 5 and 4 weeks respectively
UR  - http://203.159.5.9/ait-thesis/detail.php?q=B20807
ER  -