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Özdemir Çalıkuşu, Sevda, Erdogan, Fevzi. (1405). CHANGE–POINT–BASED HYBRID STOCHASTIC DIFFERENTIAL EQUATION MODELS: THE CASE OF WTI CRUDE OIL PRICES. سامانه مدیریت نشریات علمی, (), -. doi: 10.22034/cmde.2026.70717.3530
Sevda Özdemir Çalıkuşu; Fevzi Erdogan. "CHANGE–POINT–BASED HYBRID STOCHASTIC DIFFERENTIAL EQUATION MODELS: THE CASE OF WTI CRUDE OIL PRICES". سامانه مدیریت نشریات علمی, , , 1405, -. doi: 10.22034/cmde.2026.70717.3530
Özdemir Çalıkuşu, Sevda, Erdogan, Fevzi. (1405). 'CHANGE–POINT–BASED HYBRID STOCHASTIC DIFFERENTIAL EQUATION MODELS: THE CASE OF WTI CRUDE OIL PRICES', سامانه مدیریت نشریات علمی, (), pp. -. doi: 10.22034/cmde.2026.70717.3530
Özdemir Çalıkuşu, Sevda, Erdogan, Fevzi. CHANGE–POINT–BASED HYBRID STOCHASTIC DIFFERENTIAL EQUATION MODELS: THE CASE OF WTI CRUDE OIL PRICES. سامانه مدیریت نشریات علمی, 1405; (): -. doi: 10.22034/cmde.2026.70717.3530

CHANGE–POINT–BASED HYBRID STOCHASTIC DIFFERENTIAL EQUATION MODELS: THE CASE OF WTI CRUDE OIL PRICES

Computational Methods for Differential Equations
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 20 شهریور 1405    اصل مقاله (1.81 M)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2026.70717.3530
نویسندگان
Sevda Özdemir Çalıkuşu* 1؛ Fevzi Erdogan2
1Department of Computer Technology, Van Yuzuncu Yil University, Van, Turkey.
2Department of Econometrics, Van Yuzuncu Yil University, Van, Turkey.
چکیده
This study models the fluctuations of West Texas Intermediate (WTI) crude oil prices between 01.03.2019 and 13.03.2023 using Geometric Brownian Motion (GBM) and Cox–Ingersoll–Ross (CIR) stochastic differential equations (SDEs). The model parameters are estimated using the Quasi-Maximum Likelihood Estimation (QMLE) method, and the compatibility of both models is validated through the chi-square goodness-of-fit test. Due to abrupt price changes, two significant change points (CPs), on May 14, 2020, and February 24, 2022, are estimated using the QMLE method. These CPs correspond to major global events, namely the COVID-19 pandemic and Russia’s military intervention in Ukraine. The GBM and CIR models, redefined based on these CPs, are combined into a Hybrid SDE model, which demonstrates superior performance compared to other models, as evaluated by MAPE and RMSE criteria. The hybrid SDE model more accurately predicts sudden price fluctuations, thereby improving the model’s accuracy. These findings indicate that CP estimation significantly improves the effectiveness of SDE models, enabling more reliable modeling of abrupt changes in economic time series data. Consequently, the integration of CPs contributes to improving the accuracy of economic forecasts and facilitates more reliable predictions of future market behavior, especially in response to geopolitical and economic disruptions.
کلیدواژه‌ها
geometric Brownian motion؛ change point estimation؛ Cox–Ingersoll–Ross؛ hybrid model؛ stochastic differential equation
آمار
تعداد مشاهده مقاله: 2


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