A Comparison Amongst Various Conditional Variance Heteroscedasticity Models in Modeling and Forecasting Oil Price Volatility

This study attempts to introduce an efficient model for modeling and forecasting the fluctuations of Iran''s crude oil price. In this regard، the study uses weekly time series data of Iran''s crude oil price from January 1997 to November 2011. We examine the existence of long term memory in both mean and variance equations of Iran''s crude oil prices. Our results confirm the existence of this property in both mean and variance equations. Amongst the models based on the information criteria and MSE، the Garch and EMBED Equation. 3model has been selected as the best forecastes Iran’s heavy crude oil price fluctuations.