Forecasting Of Petroleum Oil Import Prices By Garch Models The Case Of Ethiopia

The price of oil affects everyone, everyday. Petroleum oil (oil) is an important energyrncommodity to mankind. Several causes have made petroleum oil prices to be volatile.rnThe fluctuation of petroleum oil import prices of Ethiopia has affected many relatedrnsectors, stock market indices and the country‟s economy. The main objectives of thisrnstudy were to estimate and forecast petroleum oil import prices in Ethiopia. The datarnfor this study were monthly petroleum oil import prices data obtained from thernNational Bank of Ethiopia for the period from July 1999 to June 2011. The GeneralizedrnAutoregressive Conditional Heteroscedasticity (GARCH) approach was used to forecastrnmonthly petroleum oil import prices of Ethiopia. GARCH(1,1) was found to be arnsuitable model in forecasting monthly petroleum oil import prices of Ethiopia due to itsrnability to capture the non constant conditional variance. Based on the fittedrnGARCH(1,1) model monthly petroleum oil import prices were forecasted from Julyrn2011 to June 2013. The forecasted results obtained from GARCH (1,1) model showedrnthat import petroleum oil prices are expected to increase from July 2011 to June 2013rnwith some fluctuations as a result of volatility

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