Forecasting natural gas prices using highly flexible time-varying parameter models
نویسندگان
چکیده
Distinctive regional characteristics in different natural gas markets have increased the difficulty accurately forecasting prices. Moreover, experienced great structural instability due to advancement technology and rapid financialization over past few decades. We employ three classes of flexible time-varying parameters models evaluate effects on prices forecasts. Using data from US, EU Japanese 1992 2019, we find that allowing dynamics model is crucial For Japan EU, gradual changes coefficients drastic volatility best performance, while most gains appear come for US. In addition, embedding t-distributed errors can further improve forecast accuracy.
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ژورنال
عنوان ژورنال: Economic Modelling
سال: 2021
ISSN: ['0264-9993', '1873-6122']
DOI: https://doi.org/10.1016/j.econmod.2021.105652