A Stochastic Model for Natural Gas Consumption: An Application for Turkey

被引：0

作者：

Goncu, Ahmet ^{[1
]}

Karahan, Mehmet Oguz ^{[2
]}

Kuzubas, Tolga Umut ^{[3
]}

机构：

[1] Xian Jiatong Liverpool Univ, Dept Math Sci, Suzhou 215123, Jiangsu, Peoples R China

[2] Bogazici Univ, Ctr Econ & Econometr, TR-34342 Istanbul, Turkey

[3] Bogazici Univ, Dept Econ, TR-34342 Istanbul, Turkey

来源：

IKTISAT ISLETME VE FINANS | 2013年 / 28卷 / 332期

关键词：

Natural Gas Consumption; Mean Reverting Stochastic Processes; Backtesting; DEMAND;

D O I：

10.3848/iif.2013.332.3951

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we utilize a mean reverting stochastic process to model the dynamic behaviour of natural gas consumption, where a Brownian motion drives the noise. We employ daily data on natural gas consumption from Istanbul, Turkey to estimate our model and evaluate the forecast performance by backtesting of the model at different forecast horizons using relative mean squared errors. We document that time-series observations on natural gas consumption exhibits stationarity, strong seasonality, mean reversion, and serial correlation. Based on our approach, the conditional distribution of natural gas consumption is derived, and it can be used for forecasting and pricing contingent claims on natural gas consumption.

引用

页码：33 / 46

页数：14

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