摘要
天然气作为重要能源之一,具有运输不便及存储成本较高等特点,使得天然气的供应无法随着季节性需求而改变,其价格具有强烈的季节性。为了准确对天然气期货合约进行定价和预测,本文在Bukkapatanam三因素期货期限结构模型的基础上提出了三因素期货期限结构模型及季节性因素模型对天然气期货价格进行了实证研究。根据状态变量的假设建立相关微分方程,并推导出模型的解。利用纽约商品交易所(NYMEX)的天然气期货日常价格作为样本数据对模型进行模拟,并运用卡尔曼滤波和极大似然估计法得到模型的参数估计。实证分析表明天然气存在期货升水;模型的拟合与预测能力较好;同时季节性分析表明天然气期货价格的季节性受居民和工业等用户的用气量影响明显。
The natural gas is one of the important energy resources,the lack of economical transportation and limited storability make its supply unable to change in view of seasonal variations,therefore,natural gas price is strongly seasonal.Natural gas futures prices will be affected by seasonal factors,in order to value and forecast the prices of natural gas futures contracts,three-factor model and seasonality model is put forward on the basis of Bukkapatanam model to study the term structure and seasonality of natural gas futures prices.Based on the assumptions on state variables,this paper constructs the differential equations,derives the solution from these equation.Using the natural gas futures daily price traded at the New York mercantile exchange（NYMEX）as sample data to fit and simulate the model,and then estimates the parameters and state variables by using Kalman filter and Maximum likehood method.The results show that contango exists in natural gas futures most of time,and that the fit and forecast performance of the model is very good.Seasonality model shows strong seasonal effects on natural gas futures prices by the consuming amount of gas used by residents and industrial users.
出处
《系统工程》
CSSCI
CSCD
北大核心
2015年第7期80-85,共6页
Systems Engineering
基金
国家自然科学基金资助项目(71133007/G0301)
