Sparks at Bank - Forecasting oil prices: What works best and when Forecast accuracy relative to the latest-price forecast Forecast accuracy relative to the latest-price forecast daily Success ratio for directional accuracy Success ratio for directional accuracy daily Forecast accuracy relative to the latest-price forecast (left scale) Forecast accuracy relative to the latest-price forecast (left scale) daily Number of outstanding oil futures contracts (12-month moving average, right scale) Number of outstanding oil futures contracts (12-month moving average, right scale) daily Forecast accuracy―Most accurate VAR Forecast accuracy―Most accurate VAR daily Success ratio―VAR using only monthly data Success ratio―VAR using only monthly data daily Success ratio―VAR using a mix of monthly and daily data Success ratio―VAR using a mix of monthly and daily data daily Success ratio―Bayesian VAR with stochastic volatility using monthly data Success ratio―Bayesian VAR with stochastic volatility using monthly data daily 1-3-42-43-7 4-1-3232 543246 131211698 2117299818 4237 -14.9716444 -22.3468448 -25.6718488 -25.4955551 -27.1109561 -28.7692579 -30.2101588 -31.9695599 -31.3190609 -31.0975627 -31.4305737 -32.1734797 -32.7529806 -34.2515815 -34.9056808 -35.6670787 -36.5302810 -35.7008830 -36.3845833 -36.8792869 -38.3427894 -39.0454893 -39.6433882 -39.7228926 -40.0971961 -40.6151982 -40.62981003 -40.00881008 -39.83991004 -39.44181008 -38.88781015 -38.9757976 -38.8587975 -37.3703990 -35.84041024 -33.94891061 -33.10261021 -30.18911008 -28.59021025 -26.91481036 -24.60021061 -22.17661089 -20.58741075 -19.02081076 -17.70251053 -17.49811040 -17.7678975 -18.1589898 -18.4442900 -18.8331897 -18.9758894 -19.2661909 -19.2760876 -19.2881837 -19.1138839 -19.0794840 -18.8015855 -18.1647869 -17.9320810 -17.3960786 -17.0520788 -16.5679784 -16.0658836 -15.0664855 -13.7127850 -12.4655850 -11.8189855 -11.7002852 -11.9157859 -11.6175892 -10.47931050 -8.18191239 -6.08121254 -4.21001259 -2.18721187 -0.15781209 0.42761254 0.83501278 1.33021280 1.59851288 1.67931306 1.88381287 2.31271158 2.57471030 2.94841037 3.18321034 3.29941137 3.54231184 3.69081219 3.76871277 3.85051281 4.27231299 4.40601329 4.43021328 4.45041404 4.44741476 4.49251473 4.45561483 4.49021455 4.61641424 4.58821353 4.56851309 4.64911321 4.75511326 4.94191360 4.91591397 4.97951502 4.96331620 4.96341650 4.97911653 4.97961705 5.00381765 5.00991796 5.10021801 5.11801787 5.09761772 5.09861782 5.07321717 4.95001528 4.91041318 5.35831281 5.55731274 6.08461370 6.39121135 6.67011109 7.26461084 8.64821085 10.29631088 11.38841101 11.90001103 12.14931083 12.95221058 13.99361070 15.19591107 16.14911216 16.82981228 17.55401211 18.23231194 18.46641202 18.69871198 18.77121192 18.63251192 18.47131208 18.40171293 18.36921291 18.32781259 18.28481204 18.18271227 18.10021284 18.00251305 17.98681294 17.92261286 17.94521249 17.97691243 18.09671273 18.26001322 18.48421326 18.68491335 18.84561371 18.88661343 18.91471303 18.98571355 19.11211363 19.20151382 19.28561567 19.35071580 19.34681638 19.30781688 19.30711686 19.30771682 19.30621795 19.29631813 19.29641835 19.32171829 19.31841841 19.33501844 19.33121817 19.32601811 19.30701772 19.27991662 19.35691660 19.44941676 19.66521548 20.01111536 20.15381540 20.47451504