vntkumar8 / refactored-bassoon

SAAPM Project

Oil & Gold Price Forecasting using VAR and Granger Causality

SAAPM Project

Oil & Gold price forecasting has become an important problem for academics as well as other stakeholders of the market. In this project we revisit the research question of significant relationship between Indian economy and historical oil price. We aim to price forecast (in INR) and assess the interdependence & causality between IIP index, oil import & export by India, and precious metal price. We are using a vector auto-regressive model to forecast and extract relevant inferences. We are using a 12 year rich monthly data sourced from EPWRF database and evaluated our model on 15 step ahead forecast using standard metrics viz. RMSE, MAPE etc.

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