scholarly journals Forecasting Performance Of Natural Gas Futures Market: An Assessment Of Recent Data

2011 ◽  
Vol 4 (11) ◽  
Author(s):  
Salah Abosedra ◽  
Khaled Elkhal ◽  
Faisal Al-Khateeb
Keyword(s):  
Natural Gas ◽  
Futures Market ◽  
Policy Implications ◽  
Energy Market ◽  
Futures Prices ◽  
Font Size ◽  
Spot Prices ◽  
Forecasting Performance ◽  
Futures Price ◽  
The U.S

<p class="MsoNormal" style="text-align: justify; margin: 0in 34.2pt 0pt 1in;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">Natural gas has assumed increasing importance in the global energy market. This study evaluates the forecasting performance of futures prices of natural gas in the large market of the U.S. at various time horizons. The results indicate that futures prices are unbiased predictors at the 1-, 6-, and 12- month horizons, but not at the 3- and 9- month horizons. The results further suggest that futures prices of natural gas, although biased at some intervals, significantly outperform na&iuml;ve forecasts in predicting future movements of spot prices. In addition, the information content of the 1-month ahead futures price proves especially useful as a forecasting device. Policy implications are also discussed.<span style="mso-bidi-font-style: italic; mso-bidi-font-weight: bold;"></span></span></span></p>

The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market

2007 ◽  
Vol 15 (1) ◽  
pp. 73-100
Author(s):  
Seok Kyu Kang
Keyword(s):  
Risk Management ◽  
Risk Premium ◽  
Futures Market ◽  
Spot Price ◽  
Sample Period ◽  
Futures Prices ◽  
Spot Prices ◽  
Hedging Effectiveness ◽  
Futures Price ◽  
Rolling Windows

This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a cointegration methodology. And hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS hedge model. and constant correlation bivariate GARCH (1. 1) hedge model based on rolling windows. The sample period covers from May. 3. 1996 to December. 8, 2005. The empirical results are summarized as follows: First, there exists the cOintegrating relationship between realized spot prices and futures prices of the 10 day. 22 day. 44 day. and 59 day prior to maturity. Second. futures prices of backward the 10 day. 22 day. 44 day from maturity provide unbiased forecasts of the realized spot prices. The KOSPI200 futures price is likely to predict accurately future KOSPI200 spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Third. for shorter maturity. the futures price appears to be the best forecaster of spot price. Forth, bivariate GARCH hedging effectiveness outperforms the naive and OLS hedging effectiveness. The implications of these findings show that KOSPI200 futures market behaves as unbiased predictor of future spot price and risk management instrument of KOSPI200 spot portfolio.

Relationship between Coffee Prices in Spot and Futures Markets-An Empirical Analysis

2020 ◽  
pp. 180-188
Keyword(s):  
New York ◽  
Correlation Coefficients ◽  
Strong Relationship ◽  
Futures Market ◽  
Regression Coefficients ◽  
Futures Prices ◽  
Market Prices ◽  
Spot Prices ◽  
Correlation And Regression Analysis ◽  
Highly Correlated

The present study explored the relationship between spot and futures coffee prices. The Correlation and Regression analysis were carried out based on monthly observations of International Coffee Organization (ICO) indicator prices of the four groups (Colombian Milds, Other Milds, Brazilian Naturals, and Robustas) representing Spot markets and the averages of 2nd and 3rd positions of the Intercontinental Exchange (ICE) New York for Arabica and ICE Europe for Robusta representing the Futures market for the period 1990 to 2019. The study also used the monthly average prices paid to coffee growers in India from 1990 to 2019. The estimated correlation coefficients indicated both the Futures prices and Spot prices of coffee are highly correlated. Further, estimated regression coefficients revealed a very strong relationship between Futures prices and Spot prices for all four ICO group indicator prices. Hence, the ICE New York (Arabica) and ICE Europe (Robusta) coffee futures prices are very closely related to Spot prices. The estimated regression coefficients between Futures prices and the price paid to coffee growers in India confirmed the positive relationship, but the dispersion of more prices over the trend line indicates a lesser degree of correlation between the price paid to growers at India and Futures market prices during the study period.

scholarly journals The Impact of Futures Price Volatility to Spot Market : Case of Coffee in Indonesia

2019 ◽  
Vol 15 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Anis Erma Wulandari ◽  
Harianto Harianto ◽  
Bustanul Arifin ◽  
Heny K Suwarsinah
Keyword(s):  
Exchange Rate ◽  
Price Volatility ◽  
Spot Market ◽  
Futures Market ◽  
Spot Price ◽  
Price Risk ◽  
Price Inflation ◽  
Spot Prices ◽  
Futures Price ◽  
The Impact

Indonesia is the world 4th largest coffee producer after Brazil, Vietnam and Colombia with export potential and higher national consumption concluded in 2017 while the coffee production was relatively stagnant. This was led the producer to not only the production risk but also the price risk which then emphasize the importance of futures markets existence as price risk management. This study is performed to examine the impact of futures price volatility to spot market using ARCH-GARCH toward primary data of coffee futures and spot prices of 1172 trading days starting from January 2014 to June 2018. The ARCH-GARCH analysis result indicates that futures price volatility and monetary variables are impacting the volatility of spot price. Arabica spot price volatility is impacted by volatility of Arabica futures price, inflation and exchange rate while Robusta spot price is impacted by Robusta futures price volatility and exchange rate. This is confirming that futures market plays dominant role in spot price discovery. Local futures and spot prices are also found to be significantly influenced by volatility of offshore futures prices which indicates that emerging country futures market is actually influenced by offshore futures market which the price itself used as price reference.

scholarly journals Are futures prices good price forecasts? Underestimation of price reversion in the soybean complex

2019 ◽  
Vol 47 (1) ◽  
pp. 178-199 ◽  
Author(s):  
Joshua Huang ◽  
Teresa Serra ◽  
Philip Garcia
Keyword(s):  
Quantile Regression ◽  
Forecast Errors ◽  
Central Tendency ◽  
Futures Prices ◽  
Forecast Performance ◽  
Market Participants ◽  
Price Distribution ◽  
Forecasting Performance ◽  
Futures Price ◽  
Good Price

Abstract Using quantile regression, we evaluate the forecasting performance of futures prices in the soybean complex. The procedure provides a more complete picture of the distribution of forecasts than mainstream methods that only focus on central tendency measures. Forecast performance differs by location in the futures price distribution. Futures forecast perform well in the centre of the distribution. However, futures prices tend to over-forecast when futures prices are high and under-forecast when futures prices are low, suggesting that futures prices tend to under-estimate price reversion towards the centre of the distribution. Forecast errors are larger when futures prices are high. The findings are related to theories in the literature used to explain pricing bias, and their implications for market participants are discussed.

scholarly journals Energy Market Prices in Times of COVID-19: The Case of Electricity and Natural Gas in Spain

Energies ◽  
2021 ◽  
Vol 14 (6) ◽  
pp. 1632
Author(s):  
Luis M. Abadie
Keyword(s):  
Natural Gas ◽  
Probability Distributions ◽  
Energy Market ◽  
Strong Impact ◽  
Electricity Prices ◽  
Market Prices ◽  
Spanish Society ◽  
Spot Prices ◽  
Natural Gas Prices ◽  
Almost All

The COVID-19 pandemic is having a strong impact on the economies of all countries, negatively affecting almost all sectors. This paper compares Spanish electricity and natural gas prices in the first half-year of 2020 with the prices expected for that period at the end of 2019. The half-year of 2020 selected coincides with the period of greatest impact of COVID-19 on Spanish society. Expected prices and their future probability distributions are calculated using a stochastic model with deterministic and stochastic parts; the stochastic part includes mean-reverting and jumps behaviour. The model is calibrated with 2016–2019 daily spot prices for electricity and with day-ahead prices for natural gas. The results show large monthly differences between the prices expected at the end of the year 2019 and the actual prices for the half-year; in May 2020, wholesale electricity prices are found to be EUR 31.60/MWh lower than expected, i.e., 60% lower. In the case of natural gas, the prices in the same month are EUR 8.96/MWh lower than expected, i.e., 62% lower. The spark spread (SS) is positive but lower than expected and also lower than in the same months of the previous year.

scholarly journals Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices

Energies ◽  
2020 ◽  
Vol 13 (7) ◽  
pp. 1533
Author(s):  
Tadahiro Nakajima ◽  
Yuki Toyoshima
Keyword(s):  
Natural Gas ◽  
Electricity Markets ◽  
Futures Markets ◽  
Spillover Effects ◽  
Futures Market ◽  
Spot Markets ◽  
Electricity Prices ◽  
Spot Prices ◽  
Natural Gas Prices ◽  
Gas Price

This study measures the connectedness of natural gas and electricity spot returns to their futures returns with different maturities. We employ the Henry Hub and the Pennsylvania, New Jersey, and Maryland (PJM) Western Hub Peak as the natural gas price indicator and the wholesale electricity price indicator, respectively. We also use each commodity’s spot prices and 12 types of futures prices with one to twelve months maturities and realize results in fourfold. First, we observe mutual spillover effects between natural gas futures returns and learn that the natural gas futures market is integrated. Second, we observe the spillover effects from natural gas futures returns to natural gas spot returns (however, the same is not evident for natural gas spot returns to natural gas futures returns). We find that futures markets have better natural gas price discovery capabilities than spot markets. Third, we observe the spillover effects from natural gas spot returns to electricity spot returns, and the spillover effects from natural gas futures returns to electricity futures returns. We learn that the marginal cost of power generation (natural gas prices) is passed through to electricity prices. Finally, we do not observe any spillover effects amongst electricity futures returns, except for some combinations, and learn that the electricity futures market is not integrated.

A tale of two coffees? Analysing interaction and futures market efficiency

2020 ◽  
Vol 37 (1) ◽  
pp. 89-109
Author(s):  
Mark J. Holmes ◽  
Jesús Otero
Keyword(s):  
Market Efficiency ◽  
Unit Root ◽  
Futures Market ◽  
Recursive Estimation ◽  
Futures Contracts ◽  
Futures Prices ◽  
Content Type ◽  
Spot Prices ◽  
Unit Root Testing ◽  
Price Differentials

Purpose The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices. Design/methodology/approach Futures market efficiency is associated with the existence of a long-run equilibrium relationship between spot and future prices such that coffee futures prices are unbiased predictors of future spot prices. This study applies unit root testing to daily data for futures-spot price differentials. A range of maturities for futures contracts are considered, and the study also uses a recursive approach to consider time variation in futures market efficiency. Findings The other milds and Robusta futures prices tend to be unbiased predictors for their own respective spot prices. The paper further finds that other milds and Robusta futures prices are unbiased predictors of the respective Robusta and other milds spot prices. Recursive estimation suggests that the futures market efficiency associated with these cross cases has increased, though with no clear link to the implementation of the 2007 International Coffee Agreement. Originality/value The paper draws new insights into futures market efficiency by examining the two key types of coffee and analyses the potential interactions between them. Hitherto, no attention has been paid to futures contracts of the Robusta variety. The employment of unit root testing of spot futures coffee price differentials can be viewed as more stringent than an approach based on non-cointegration testing.

The New Natural Gas Futures Market - Is it Efficient?

1993 ◽  
Vol 11 (5) ◽  
pp. 459-466 ◽  
Author(s):  
John H. Herbert
Keyword(s):  
Natural Gas ◽  
Futures Market ◽  
Regression Equation ◽  
Futures Prices ◽  
Time Period ◽  
The Relationship

Aspects of the natural gas futures market are discussed. In particular, the efficiency of the natural gas futures market is evaluated using a regression equation. It is found that the market has behaved more like an inefficient market than an efficient one. A variety of tests are applied to the estimated equation. These tests suggest that the estimated equation provides a good summary of the relationship between spot and futures prices for the time period. In addition, the equation is found to produce accurate forecasts.

Do Changes in Natural Gas Futures Prices Influence Changes in Natural Gas Spot Prices?

1993 ◽  
Vol 11 (5) ◽  
pp. 467-472 ◽  
Author(s):  
John H. Herbert
Keyword(s):  
Natural Gas ◽  
Futures Markets ◽  
Spot Market ◽  
Spot Markets ◽  
Futures Prices ◽  
Market Prices ◽  
Spot Prices ◽  
Futures Contract

Data on natural gas futures and spot markets are examined to determine if variability in price on futures markets influences variability in price on spot markets. Using econometric techniques, it is found that changes in futures contract prices do not precede changes in spot market prices.

scholarly journals Interval Forecasting of Carbon Futures Prices Using a Novel Hybrid Approach with Exogenous Variables

2017 ◽  
Vol 2017 ◽  
pp. 1-12 ◽  
Author(s):  
Lu Zhang ◽  
Junbiao Zhang ◽  
Tao Xiong ◽  
Chiao Su
Keyword(s):  
Statistical Significance ◽  
Hybrid Approach ◽  
Futures Market ◽  
Futures Contracts ◽  
Support Vector ◽  
Futures Prices ◽  
Swarm Optimization ◽  
Modeling Process ◽  
Forecasting Performance ◽  
Daily Interval

This paper examines the interval forecasting of carbon futures prices in one of the most important carbon futures market. Specifically, the purpose of this study is to present a novel hybrid approach, which is composed of multioutput support vector regression (MSVR) and particle swarm optimization (PSO), in the task of forecasting the highest and lowest prices of carbon futures on the next trading day. Furthermore, we set out to investigate if considering some potential predictors, which have strong influence on carbon futures prices, in modeling process is useful for achieving better prediction performance. Aiming at testing its effectiveness, we benchmark the forecasting performance of our approach against four competitors. The daily interval prices of carbon futures contracts traded in the Intercontinental Futures Exchange from August 12, 2010, to November 13, 2014, are used as the experiment dataset. The statistical significance of the interval forecasts is examined. The proposed hybrid approach is found to demonstrate the higher forecasting performance relative to all other competitors. Our application offers practitioners a promising set of results with interval forecasting in carbon futures market.

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