As one of the most important commodity futures,the price forecasting of natural gas futures is of great signifi-cance for hedging and risk aversion.This paper mainly focuses on natural gas futures pricing which consid...As one of the most important commodity futures,the price forecasting of natural gas futures is of great signifi-cance for hedging and risk aversion.This paper mainly focuses on natural gas futures pricing which considers seasonalityfluctuations.In order to study this issue,we propose a modified approach called six-factor model,in which the influence of seasonalfluctuations are eliminated in every random factor.Using Monte Carlo method,wefirst assess and comparative analyze thefitting ability of three-factor model and six-factor model for the out of sample data.It is found that six-factor model has better performance than three-factor model and natural gas futures prices is strongly influenced by winter effect.We then apply the proposed model to predict the price of natural gas futures in the year 2019.It is found that natural gas prices have a weak upward trend in the coming year and are relatively volatile in winter.展开更多
基金supported by the National Natural Science Foundation of China(Nos.71704080,71774087,71403131)the Fundamental Research Funds for the Central Universities(No.30917013101)+3 种基金the Research Foundation of School of Economics and Management of Nanjing University of Science and Technology for the Young Scholar(JGQN1704)the Cultural Experts and“Four batch”Talents Independently Selected Topic Project(ZXGZ[2018]86)the Jiangsu Province Natural Science Foundation of China(BK20171422)Jiangsu Province Graduate Research and Practice Innovation Plan(KYCX19_0210).
文摘As one of the most important commodity futures,the price forecasting of natural gas futures is of great signifi-cance for hedging and risk aversion.This paper mainly focuses on natural gas futures pricing which considers seasonalityfluctuations.In order to study this issue,we propose a modified approach called six-factor model,in which the influence of seasonalfluctuations are eliminated in every random factor.Using Monte Carlo method,wefirst assess and comparative analyze thefitting ability of three-factor model and six-factor model for the out of sample data.It is found that six-factor model has better performance than three-factor model and natural gas futures prices is strongly influenced by winter effect.We then apply the proposed model to predict the price of natural gas futures in the year 2019.It is found that natural gas prices have a weak upward trend in the coming year and are relatively volatile in winter.
