[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Archive :: Search :: Submit :: Contact ::
Main Menu
Journal Information::
Articles archive::
For Authors::
For Reviewers::
Contact us::
Site Facilities::
Search in website

Advanced Search
Receive site information
Enter your Email in the following box to receive the site news and information.
:: Volume 5, Issue 20 (9-2015) ::
2015, 5(20): 7-54 Back to browse issues page
The Estimation of Natural Gas Daily Spot Prices with Geometric Brownian Motion Model
Narges Salehnia , Mohammad Ali Fallahi , Ahmad Seifi , Mohammad Hossein Mahdavi Adeli
Abstract:   (5311 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.
Keywords: Natural Gas, Spot Pprice, Volatility, Drift, Geometric Brownian Motion Model
Type of Study: Applicable | Subject: انرژی، منابع و محیط زیست
Received: 2014/03/18 | Accepted: 2015/02/4 | Published: 2015/09/19
Send email to the article author

Add your comments about this article
Your username or Email:


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. Journal title 2015; 5 (20) :7-54
URL: http://jfm.khu.ac.ir/article-1-984-en.html

Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 5, Issue 20 (9-2015) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
Persian site map - English site map - Created in 0.08 seconds with 37 queries by YEKTAWEB 4657