Energy Prices Forecasting Using Nonlinear Univariate Models

• Autorzy: Zuzanna Karolak
• Języki publikacji: EN

Abstrakty

EN

This study analyses whether nonlinear methods are powerful enough to outperform consistently the no-change forecast for prices of key energy commodities, i.e. Brent crude oil, WTI crude oil, natural gas and coal. Six classes of nonlinear models are tested: threshold models (both self-exciting and external threshold variable model approach), smooth transition models (self-exciting and external threshold variable model approach), Markov regime switching models and neural networks. The forecasting competition is designed to simulate a real-time forecasting scheme. The analysis provides some evidence for predictive capabilities of nonlinear methods, but only in short-term horizons. (original abstract)

Słowa kluczowe

EN

Energy; Prices; Prediction of prices; Nonlinear models

PL

Energia; Ceny; Prognozowanie cen; Modele nieliniowe

• Czasopismo: Bank i Kredyt
• Rocznik: 2021
• Numer: nr 6
• Strony: 577--598

Twórcy

autor

Zuzanna Karolak

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