Modeling and Forecasting the Price of Asphalt Cement Using Generalized Auto Regressive Conditional Heteroscedasticity

Mohammad Ilbeigi, Alireza Joukar, Baabak Ashuri

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

5 Scopus citations

Abstract

Significant volatility in the price of asphalt cement is one of the most important challenges for both state departments of transportation (state DOTs) and highway contractors for proper cost estimating and budgeting of their projects. The ability to model and forecast asphalt cement prices can result in more accurate cost estimation and budgeting. However, there is little knowledge about how asphalt cement price fluctuates over time. The research objective of this paper is to model and forecast the price of asphalt cement using auto regressive conditional heteroscedasticity (ARCH) and generalized auto regressive conditional heteroscedasticity (GARCH) time series forecasting model which can model and predict both conditional mean and conditional variance of a variable. After analyzing the major characteristics (i.e., autocorrelation, stationarity, seasonality) of the time series of asphalt cement price, the primary conditional mean function is created using regular time series models such as auto-regressive moving average (ARMA). Then, by analyzing the residuals of this model, the conditional volatility of the price of asphalt cement is modeled using an ARCH/GARCH model. The results indicate that the developed model can predict the price of asphalt cement with less than 1.6% error.

Original languageEnglish
Title of host publicationConstruction Research Congress 2016
Subtitle of host publicationOld and New Construction Technologies Converge in Historic San Juan - Proceedings of the 2016 Construction Research Congress, CRC 2016
EditorsJose L. Perdomo-Rivera, Carla Lopez del Puerto, Antonio Gonzalez-Quevedo, Francisco Maldonado-Fortunet, Omar I. Molina-Bas
Pages698-707
Number of pages10
ISBN (Electronic)9780784479827
DOIs
StatePublished - 2016
EventConstruction Research Congress 2016: Old and New Construction Technologies Converge in Historic San Juan, CRC 2016 - San Juan, Puerto Rico
Duration: 31 May 20162 Jun 2016

Publication series

NameConstruction Research Congress 2016: Old and New Construction Technologies Converge in Historic San Juan - Proceedings of the 2016 Construction Research Congress, CRC 2016

Conference

ConferenceConstruction Research Congress 2016: Old and New Construction Technologies Converge in Historic San Juan, CRC 2016
Country/TerritoryPuerto Rico
CitySan Juan
Period31/05/162/06/16

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