Envisioning Romania’s Path to Sustainable Development: A Prognostic Approach

Ciucu-Durnoi, Alexandra-Nicoleta; Florescu, Margareta Stela; Delcea, Camelia

doi:10.3390/su151712671

Cited by 4 publications

(2 citation statements)

References 54 publications

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“…Similar papers studied stock market indexes, commodities and cryptocurrencies [37], [38], [39]. Bitcoin is renowned for its significant price oscillations, and its volatility is influenced by a variety of factors.…”

Section: Literature Reviewmentioning

confidence: 99%

Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability

Bâra,

Georgescu,

Oprea

et al. 2024

IEEE Access

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In this paper, we mainly investigate three variables from the price volatility point of view: Brent crude oil, S&P500 and Bitcoin (BTCUSD), aiming to underline the impact of price volatility. Brent crude oil accounts for two-thirds of the oil market. Its price volatility has a significant impact on environmental, transportation, mobility, economic and social aspects that affect sustainability. This paper conducts an extensive examination of the forecasting capabilities of various GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, identifying the most suitable GARCH model for estimating Value at Risk (VaR) for Brent crude oil price. The assessment of VaR for different GARCH models is carried out using Kupiec's Probability of Failure (POF) test and Christoffersen's test. This study leverages Brent crude oil data spanning from 2019 to 2023. Additionally, to prove the robustness of the GARCH models, we further consider the West Texas Intermediate (WTI) and Dubai oil prices that are the dominant in the U.S and Asian market. The investigation identifies the TGARCH(1,1) Skewed Student model as the optimal choice among 9 models considered for VaR estimation. The results show that TGARCH Skewed Student model surpasses the other models in the study, proving its superiority in forecasting Brent crude oil price volatility and facilitating VaR estimation. A VaR of 0.044 with a 95% confidence level means that there is a 95% chance that the portfolio will not lose more than 4.4% of its value. By incorporating skewness in addition to volatility asymmetry, the Skewed GARCH-type models provide a more realistic representation of the underlying return distribution. Furthermore, the most appropriate GARCH-type model for WTI crude oil is EGARCH(1,1) Skewed Student, with a VaR coverage of 0.39. The most appropriate GARCH-type model for Dubai crude oil is TGARCH(1,1) Skewed Student, with a VaR coverage of 0.17. Both WTI oil and Dubai crude oil have a coverage that exceeds 5%, implying a more conservative approach to estimating potential losses. Furthermore, the unidirectional causalities BTCUSD→BRENT and BTCUSD→S&P500 are identified. The results of the current research have practical implications for both importing and exporting countries, policy makers and investors. For companies in the oil sector, VaR informs operational decisions, such as production levels, capital expenditure and inventory management, by providing insights into market risk. Moreover, understanding the risks associated with oil aids in long-term strategic planning.INDEX TERMS backtesting, Bitcoin, Brent crude oil, GARCH model, price volatility, S&P500

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Section: Literature Reviewmentioning

confidence: 99%

Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability

Bâra,

Georgescu,

Oprea

et al. 2024

IEEE Access

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show abstract

“…The forecasting for the other indicators was conducted using the autoregressive integrated moving average (ARIMA) method, which can provide more insight on the multiple facets of the sustainable development in the EU context [63].…”

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confidence: 99%

Forecasting Sustainable Development Indicators in Romania: A Study in the European Context

Ciucu (Durnoi),

Ioanăș,

Iordan

et al. 2024

Sustainability

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Sustainable development is a very important and highly debated concept worldwide, with almost all states around the globe recognizing the importance of supporting a balancing of economic, social and ecological plans to create a more prosperous and equitable world. The purpose of the current study is to identify the current context of the progress achieved by the EU member states regarding the 17 sustainable development objectives. Following the implemented research, it was found that Romania is one of the countries with the lowest performance, so an attempt was made to make a short-term forecast in the case of this country in order to determine its future course. In this sense, the Holt–Winters trend methods were used, which are based on historical data to predict future values. According to the analysis carried out, the predicted values are mainly encouraging, but it is necessary for the competent authorities to become more involved because, in many aspects, Romania is at the bottom of the European Union (EU) ranking regarding the analyzed indicators.

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A value sharing method for heterogeneous energy communities archetypes

Bâra,

Oprea

2024

iScience

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Envisioning Romania’s Path to Sustainable Development: A Prognostic Approach

Cited by 4 publications

References 54 publications

Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability

Exploring the Dynamics of Brent Crude Oil, S&P500 and Bitcoin Prices Amid Economic Instability

Forecasting Sustainable Development Indicators in Romania: A Study in the European Context

A value sharing method for heterogeneous energy communities archetypes

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