Volume 5, Issue 20 (9-2015)                   jemr 2015, 5(20): 7-54 | Back to browse issues page

XML Persian Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Salehnia N, Fallahi M A, Seifi A, Mahdavi Adeli M H. The Estimation of Natural Gas Daily Spot Prices with Geometric Brownian Motion Model. jemr. 2015; 5 (20) :7-54
URL: http://jemr.khu.ac.ir/article-1-984-en.html
Abstract:   (3260 Views)

This paper aims at estimating Geometric Brownian Motion (GBM) Model, based on two central parameters in this model (volatility and drift), and forecasting Henry Hub natural gas daily spot prices (07/01/1997-20/03/2012). Researches reveal that two mentioned parameters estimation can be satisfied with different approaches and in various time scales. Therefore, two approaches of backward looking and forward looking have been used in different time scales and sub-periods. Results show that the volatility and drift values are highly dependent on the time scale and backward results are lower than the forward ones. Moreover, along with increasing the number of random runs of the model although the fluctuating range decreases, the predicted line slope is very close to the actual line. Ultimately, the performance evaluation criteria yields that forward method, clearly in 2009, has the best performance. The sub-periods of 2001-2004 in backward and forward methods have the next best performances, respectively. These sub-periods can be used as a basis for calculating the central parameters of the model. In addition, the results suggest that relying on data used in the most recent period is not sufficiently accurate. Also, it is observed that sub-periods or time scales with higher volatility show better performance evaluation criteria, therefore they can be applied in price forecasting with GBM model.

Full-Text [PDF 2000 kb]   (1101 Downloads)    
Type of Study: Applicable | Subject: انرژی، منابع و محیط زیست
Received: 2014/03/18 | Accepted: 2015/02/4 | Published: 2015/09/19

Add your comments about this article : Your username or Email:

Send email to the article author

© 2020 All Rights Reserved | Journal of Economic Modeling Research

Designed & Developed by : Yektaweb