مجلة دفاتر اقتصادية
Volume 17, Numéro 1, Pages 86-100
2026-06-02

Dynamic Modeling And Volatility Analysis Of Crude Oil Prices Using Arima–arch Framework



Authors : Abdelhafidi Aissa .

Abstract

This study presents a dynamic model of crude oil prices using a time series framework based on a large weekly dataset consisting of 1,958 observations. To capture the dynamics of crude oil prices, an ARMA model is employed, while an ARCH model is used to analyze and capture conditional volatility and volatility clustering, supported by a set of diagnostic tests to ensure statistical adequacy. The results indicate that the ARIMA(3,1,1)– ARCH(1) framework effectively describes and explains both the evolution and volatility behavior of crude oil prices, highlighting the robustness of dynamic and volatility-based approaches in energy market analysis..

Keywords

Crude oil prices; ARMA–GARCH; Volatility; Time series; Energy markets.

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