Skip to main content

Table 5 The set of significant regressors detected for each IMF/residue of WTI, with the BN-QRL-BLasso-BRR techniques

From: A hybrid Bayesian-network proposition for forecasting the crude oil price

Name

Method

Significant external regressors detected

IMF.1

BN (Constrained)

aroon, CCI, RSI, SMA

BN (Scored)

aroon, CCI, RSI, SMA

QRL

aroon, CCI

BLasso

aroon, CCI, DEMA, RSI, SMA

BRR

aroon, CCI, DEMA, RSI, SMA

IMF.2

BN (Constrained)

DEMA, EMA, MACD, RSI, TRIX

BN (Scored)

DEMA, MACD, RSI, TRIX

QRL

aroon, CCI, TDI

BLasso

CCI, MACD, RSI, TRIX, VIX

BRR

DEMA, EMA, MACD, RSI, SMA, TRIX, VIX

IMF.3

BN (Constrained)

aroon, CCI, DEMA, MACD, OVX, RSI, SMA, TDI, VIX

BN (Scored)

aroon, CCI, DEMA, MACD, OVX, RSI, SMA, TDI, VIX

QRL

aroon, CCI, TDI

BLasso

aroon, CCI, DEMA, EMA, MACD, OVX, RSI, SMA, TDI, TRIX, VIX

BRR

aroon, CCI, DEMA, EMA, MACD, OVX, RSI, SMA, TDI, TRIX

IMF.4

BN (Constrained)

aroon, MACD, RSI, TDI

BN (Scored)

aroon, MACD, TDI

QRL

aroon, CCI, TDI

BLasso

aroon, DEMA, EMA, MACD, RSI, SMA, TDI, TRIX, VIX

BRR

aroon, DEMA, EMA, MACD, RSI, SMA, TDI

IMF.5

BN (Constrained)

DEMA, MACD, SMA, TDI, OVX, VIX

BN (Scored)

DEMA, MACD, SMA, TDI, OVX, VIX

QRL

aroon, CCI, DEMA, EMA, TDI

BLasso

aroon, CCI, DEMA, EMA, MACD, OVX, RSI, SMA, TDI, TRIX, VIX

BRR

DEMA, EMA, MACD, OVX, RSI, SMA, TDI

IMF.6

BN (Constrained)

MACD, OVX, SMA, TDI, TRIX, VIX

BN (Scored)

MACD, OVX, SMA, TDI, TRIX, VIX

QRL

CCI, DEMA, VIX

BLasso

DEMA, EMA, MACD, OVX, RSI, SMA, TDI, TRIX, VIX

BRR

DEMA, EMA, MACD, OVX, RSI, SMA, TDI, TRIX, VIX

IMF.7

BN (Constrained)

MACD, RSI, TRIX, OVX, VIX

BN (Scored)

MACD, RSI, TRIX, OVX, VIX

QRL

aroon, CCI, DEMA, OVX, TDI

BLasso

CCI, DEMA, EMA, OVX, SMA, TDI, VIX

BRR

CCI, DEMA, EMA, OVX, SMA, TDI, TRIX, VIX

RES

BN (Constrained)

aroon, MACD, OVX, RSI, TDI, TRIX, VIX

BN (Scored)

aroon, MACD, OVX, RSI, TDI, TRIX, VIX

QRL

arron, CCI, EMA, TDI, VIX

BLasso

aroon, DEMA, MACD, OVX, SMA, TDI, TRIX, VIX

BRR

aroon, DEMA, MACD, OVX, SMA, TDI, TRIX, VIX