利用高度灵活的时变参数模型预测天然气价格

Shen Gao, Chenghan Hou, B. Nguyen
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引用次数: 9

摘要

不同天然气市场的区域特征鲜明,增加了准确预测天然气价格的难度。此外,在过去的几十年里,由于技术的进步和快速的金融化,天然气市场经历了巨大的结构不稳定。采用三种柔性时变参数模型来评价区域特征和结构不稳定性对天然气价格预测的影响。利用1992年至2019年美国、欧盟和日本市场的数据,我们发现允许模型参数的不同时变动态对于预测天然气价格至关重要。对于日本和欧盟来说,允许系数逐渐变化和波动性急剧变化的模型具有最佳的预测性能,而对于美国来说,大多数预测收益似乎来自于允许波动性逐渐变化。此外,嵌入t分布误差可以进一步提高预测精度。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Forecasting Natural Gas Prices Using Highly Flexible Time-Varying Parameter Models
Abstract Distinctive regional characteristics in different natural gas markets have increased the difficulty in accurately forecasting natural gas prices. Moreover, the natural gas markets have experienced great structural instability due to advancement in technology and rapid financialization over the past few decades. We employ three classes of flexible time-varying parameters models to evaluate the effects of the regional characteristics and structural instability on natural gas prices forecasts. Using the data from the US, EU and Japanese markets from 1992 to 2019, we find that allowing different time-varying dynamics of the model parameters is crucial in forecasting natural gas prices. For Japan and the EU, models allowing gradual changes in coefficients and drastic changes in volatility have the best forecasting performance, while most of forecasting gains appear to have come from allowing gradual changes in volatility for the US. In addition, embedding t-distributed errors can further improve the forecast accuracy.
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