Quanjia Zuo1, Fanyi Meng1,*, Yang Bai2
Energy Engineering, Vol.118, No.2, pp. 303-322, 2021, DOI:10.32604/EE.2021.013239
- 23 December 2020
Abstract As one of the most important commodity futures, the price forecasting of natural gas futures is of great significance for hedging and risk aversion. This paper mainly focuses on natural gas futures pricing which considers seasonality fluctuations. In order to study this issue, we propose a modified approach called six-factor model, in which the influence of seasonal fluctuations are eliminated in every random factor. Using Monte Carlo method, we first assess and comparative analyze the fitting ability of three-factor model and six-factor model for the out of sample data. It is found that six-factor model More >
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