I am relatively new in this field and have my final thesis on crude oil price forecasting. I am stuck in identifying the optimal ARIMA model for my time series. I am using Stata 13. The daily five year series of ICE crude oil futures is shown on a line graph below.
As it is obvious this time series needs differencing which I did after doing the augmented DF test. Here come the issues. I understand ACF and PACF graphs are useful for determining which ARIMA to use, but do I have to apply them to the non stationary series or the differenced one?
Of course I applied both to each series and come up with some weird results I am unsure how to interpret. These can be seen below, first for the original times series, then for the differenced one:
I am unsure what to do next and how to interpret these results and which model would be best to apply. If someone could guide me through to my next move I would be very grateful.
Here is the link to the data in Excel