Energy Forecasting

Forecasting oil prices, oil price volatility and economic policy research project.

About the project

This exciting and innovative project aims to develop new econometric models to forecast oil price and oil price volatility.

Meet the researchers

Information about the researchers’ working experience, research interests and publications can be found here.

Publications of the project

Find information about the publications of the ENEFOR project in academic journals and international conferences.

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Project summary

Oil price and oil price volatility forecasts are of major importance, given the oil market is well crowded by participants who proceed to decisions based on these forecasts (e.g. oil traders, monetary policy authorities, etc).

The current state-of-the-art forecasting techniques, though, (i) involve a trade-off among internal consistency, forecasting accuracy and easiness to communicate aspects and (ii) do not use ultra high frequency data.

Thus, this exciting and innovative project aims to develop new econometric model frameworks to forecast oil price and oil price volatility, which will be successful in enhancing internal consistency, forecasting accuracy and easiness to communicate extracting added-value (in terms of predictability) information from the ultra high sampling frequency.

In addition, this project aims to use the forecasted oil price volatility to predict the economic policy uncertainty in Europe, given that oil price shocks exert significant impact on the effectiveness of economic policy.

This project will have a great impact not only to the researcher, but also to the host organisation and to the European Research Area, as it will provide solution to the current issues of oil forecasting and it will allow these model frameworks to be used in other energy commodities forecasts.

This project is funded by the European Union’s Horizon 2020 research and innovation programme under the Marie Sklodowska-Curie grant agreement (No 658494).