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Modeling Natural Gas Prices Volatility

Year 2014, Volume 2, Issue 1, 2014, 1 - 11, 09.09.2014
https://doi.org/10.17093/aj.49750

Abstract

Researches done so far indicate that oil reserves around the word will most probably have been used up in 50 year’s time. This fact has necessitated the researches and use of new energy sources which can be alternative to oil, the most commonly used energy source around the world. Unforgettable Chernobyl nuclear disaster in 1980s, in Ukraine, caused to see the energy glass half empty; and this negative viewpoint has got more acute after the radiation leakage in Fukushima power plant which was damaged in the earthquake in Japan, in 2011. Furthermore, hydroelectric power plants have provoked reaction from many eco-warriors and organizations as they cause ecological disequilibrium through floods in natural habitat. Moreover, it will be pointless to mention coal-fired thermal power plants, which created the term “year without summer” due to the air pollution they caused during Industrial Revolution in England between 18th and 19th centuries. When the topic is energy and its production, market conditions, in which inputs enabling production are dealt in, get affected from various outside/exterior factors. Dynamics of these input markets which are based on delicate balances change constantly; and thus, these changes become influential on aforementioned input prices. Thinking markets selling oil and its derivatives, it becomes more comprehensible that dynamics are significant and related to each other. Without a doubt, one of the energy inputs which are closely dependent on these critical market conditions is natural gas prices. In this study, stability of daily natural gas prices between 1997 and 2012 will be researched and its volatility will be tried to be modeled via ARCH&GARCH model family..

References

  • Alterman, S., 2012, Natural Gas Prices Volatility in U.K. and North America, Oxford Institute for Energy Studies, Registered Cahrity No: 286084, ISBN: 978-907555-43-5, Oxford Universty Press, United Kingdom.
  • Bollerslev T., 1986, Generalized Autoregressive Conditional Heteroscedasticity, Jounal of Econometrics, Journal of Econometrics 31 (1986) 307-327. North-Holland.
  • Box, G. E.P., Jenkins, G. N., Reinsel, 1976, Time Series Analysis Forecasting and Control, Holden-Day Inc., ISBN:0-8162-1104-3, USA.
  • Chevallier, J., Sévi, B., 2011, On The Volatility-Volume Relationship in Energy Futures Markets Using Intraday Data, Document de Travail Working Paper 2011-16, Université de Paris Ouest Nanterre La Défense Press, Paris France.
  • D. Dickey, W. Fuller, 1979, Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74, 427-431.
  • Duong T. Le., Volatility in the Natural Gas Market: GARCH, Asymmetry, Seasonality and Announcement Effects,
  • Enders, W., 2004, Applied Econometric Times Series, International Edition, Wiley Series in Probability and Mathematical Statistics, Wiley & Sons, Incorporated, John, ISBN: 9780471451730, Newyork, USA.
  • Engle., R., F. 1982 Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation, Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1007.
  • Fazilah, S., Sonal, B., 2009, Performance and Volatility of Oil and Gas Stocks: a Comparative Study on Selected O&G Companies, International Business Research, Vol:2 No:4, Octaber 2009.
  • Gujarati, D., 2004, Basic Econometrics, 4th Edition, Mc Graw Hill Companies, ISBN: 0072478527, 1221 Avenue of the Americas - 47th floor, New York, NY 10020-1095, USA.
  • Pindyck, R.S., 2004, Volatility on Natural Gas and Oil Markets, The Journal of Energy and Development Vol: 31 No:1, USA.
  • Phillps, P.C.B., Perron, P., 1988, Testing for a Unit Root in Time Series Regression, Biometrika 75, 2, pp 335-46, United Kingdom.
  • Sevüktekin, M., M., Nargeleçekenler, M., 2006, İstanbul Menkul Kıymetler Borsasında Getiri Volatilitesinin Modellenmesi ve Ön raporlanması, Ankara Üniversitesi SVF Dergisi, Ankara, 61(4), 243-265, Ankara.
  • Sözen, İ., 2009, Ham Petrol Fiyat Değişimlerinin Makro İktisadi Değişkenlerle İlişkisi: Bir Zaman Serisi Analizi, Marmara Üniversitesi Ortadoğu Araştırmaları Enstitüsü Ortadoğu İktisadı Anabilim Dalı, İstanbul.
  • Qin, X., Bessler, D., Leatham, D., Wu, X., Gan, Li, 2010, Fundamentals and US Natural Gas Price Dynamics, Southern Agricultural Economics Association Annual Meeting, Orlando, FL, February 6-9, 2010. Orlando, USA.
  • BP Statistical Review of World Energy June 2012
  • T.P.O 2011 Petrol ve Doğalgaz Sektör Raporu.
  • http://www.naturalgas.org/overview/resources.asp
  • http://www.naturalgas.org/overview/history.asp

Doğalgaz Fiyatlarındaki Volatilitenin Modellenmesi

Year 2014, Volume 2, Issue 1, 2014, 1 - 11, 09.09.2014
https://doi.org/10.17093/aj.49750

Abstract

Araştırmacılar, dünyadaki petrol rezervlerinin çok yüksek ihtimalle önümüzdeki 50 yıl içinde tükeneceğini ortaya koymuşlardır. Bu gerçek araştırmacıları, dünya genelinde petrolün alternatifi olarak kullanılabilecek bir enerji kaynağı arayışına itmiştir. 1980’de Ukrayna’nın Çernobil şehrinde yaşanan nükleer felaket, dünya üzerinde bu enerji türüne karşı bardağın boş tarafından bakılmasına sebep olmuş, bu olumsuz görüş 2011 yılında Japonya’da meydana gelen deprem sonrası Fukuşima santralinde meydana gelen sızıntıdan sonra daha da artmıştır.Ayrıca hidro-elektrik santrallerin doğal yaşam alanlarına verdiği zararlar, bu enerji türüne karşı, çevre savunucuları ve örgütlerinin tepkilerine ve protestolarına sebep olmaktadır. Diğer taraftan 18 ve 19. yüzyıllardaki Sanayi Devrimi sırasında İngiltere’de “Yazsız Yıl”ın yaşanmasına sebep olan termik santrallerden bahsetmeye gerek bile yoktur. Söz konusu enerji ve üretimi olunca, bu üretimi sağlayan girdilerin alınıp satıldığı piyasa koşulları birçok dışsal faktörden etkilenmektedir. Hassas dengeler üzerine kurulu bu girdi piyasalarının dinamikleri koşullara bağlı olarak sürekli değişmekte bu değişimlerde beraberinde söz konusu girdilerin fiyatları üzerinde etkili olmaktadır. Petrol ve türevlerinin alınıp satıldığı piyasalar düşünülünce dinamiklerin ne kadar hassas ve birbirine bağlı olduğu daha iyi anlaşılabilmektedir. Bu hassas piyasa koşullarına bağlı enerji girdilerinden bir tanesi de hiç şüphe yok ki doğalgaz fiyatlarıdır. Bu çalışmada, (1997-2014) yılları arası günlük doğalgaz fiyatlarının durağanlığı araştırılarak, sahip olduğu volatilite ARCH&GARCH model ailesi ile modellenmeye çalışılacaktır.

References

  • Alterman, S., 2012, Natural Gas Prices Volatility in U.K. and North America, Oxford Institute for Energy Studies, Registered Cahrity No: 286084, ISBN: 978-907555-43-5, Oxford Universty Press, United Kingdom.
  • Bollerslev T., 1986, Generalized Autoregressive Conditional Heteroscedasticity, Jounal of Econometrics, Journal of Econometrics 31 (1986) 307-327. North-Holland.
  • Box, G. E.P., Jenkins, G. N., Reinsel, 1976, Time Series Analysis Forecasting and Control, Holden-Day Inc., ISBN:0-8162-1104-3, USA.
  • Chevallier, J., Sévi, B., 2011, On The Volatility-Volume Relationship in Energy Futures Markets Using Intraday Data, Document de Travail Working Paper 2011-16, Université de Paris Ouest Nanterre La Défense Press, Paris France.
  • D. Dickey, W. Fuller, 1979, Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74, 427-431.
  • Duong T. Le., Volatility in the Natural Gas Market: GARCH, Asymmetry, Seasonality and Announcement Effects,
  • Enders, W., 2004, Applied Econometric Times Series, International Edition, Wiley Series in Probability and Mathematical Statistics, Wiley & Sons, Incorporated, John, ISBN: 9780471451730, Newyork, USA.
  • Engle., R., F. 1982 Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation, Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1007.
  • Fazilah, S., Sonal, B., 2009, Performance and Volatility of Oil and Gas Stocks: a Comparative Study on Selected O&G Companies, International Business Research, Vol:2 No:4, Octaber 2009.
  • Gujarati, D., 2004, Basic Econometrics, 4th Edition, Mc Graw Hill Companies, ISBN: 0072478527, 1221 Avenue of the Americas - 47th floor, New York, NY 10020-1095, USA.
  • Pindyck, R.S., 2004, Volatility on Natural Gas and Oil Markets, The Journal of Energy and Development Vol: 31 No:1, USA.
  • Phillps, P.C.B., Perron, P., 1988, Testing for a Unit Root in Time Series Regression, Biometrika 75, 2, pp 335-46, United Kingdom.
  • Sevüktekin, M., M., Nargeleçekenler, M., 2006, İstanbul Menkul Kıymetler Borsasında Getiri Volatilitesinin Modellenmesi ve Ön raporlanması, Ankara Üniversitesi SVF Dergisi, Ankara, 61(4), 243-265, Ankara.
  • Sözen, İ., 2009, Ham Petrol Fiyat Değişimlerinin Makro İktisadi Değişkenlerle İlişkisi: Bir Zaman Serisi Analizi, Marmara Üniversitesi Ortadoğu Araştırmaları Enstitüsü Ortadoğu İktisadı Anabilim Dalı, İstanbul.
  • Qin, X., Bessler, D., Leatham, D., Wu, X., Gan, Li, 2010, Fundamentals and US Natural Gas Price Dynamics, Southern Agricultural Economics Association Annual Meeting, Orlando, FL, February 6-9, 2010. Orlando, USA.
  • BP Statistical Review of World Energy June 2012
  • T.P.O 2011 Petrol ve Doğalgaz Sektör Raporu.
  • http://www.naturalgas.org/overview/resources.asp
  • http://www.naturalgas.org/overview/history.asp
There are 19 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Fatih Çemrek

Hakkı Polat This is me

Publication Date September 9, 2014
Submission Date September 9, 2014
Published in Issue Year 2014 Volume 2, Issue 1, 2014

Cite

APA Çemrek, F., & Polat, H. (2014). Doğalgaz Fiyatlarındaki Volatilitenin Modellenmesi. Alphanumeric Journal, 2(1), 1-11. https://doi.org/10.17093/aj.49750

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