The Predictive Characteristics of Energy Futures: Recent Evidence for Crude Oil, Natural Gas, Gasoline and Heating Oil

Testing for unit roots, causality, cointegration, and efficiency: The case of the northwest US natural gas market

“…exploited. Similarly, Chinn et al [12] found that natural gas futures were less successful or not statistically significant in predicting future spot prices at 3 and 6 months horizons. Data that covered a 12-month horizon, however, showed evidence of market efficiency (predict future spot prices) but explained only 21% of variation (r-square) [12].…”

“…Similar to other economic time series data, prices of natural gas are believed to exhibit non-stationarity [6,12,13]. Testing for this characteristic of prices is necessary before performing other tests because most conventional statistical tests assume that timedependent variables exhibit stationary behavior.…”

“…Chinn et al, [12] found that futures prices are unbiased predictors of crude oil, gasoline and heating oil prices, but not of natural gas prices. The present research investigates whether or not the market efficiency hypothesis holds true for the natural gas futures market.…”

A Review of Price Forecasting Problem and Techniques in Deregulated Electricity Markets

“…To overcome this problem and to allow ARMA model to handle non-stationary data, the new model is introduced for non-stationary data, the model is called Auto-Regressive Integrated Moving Average (ARIMA), it has been successfully applied to forecast the commodity prices [47]- [49]. The application of ARIMA methodology for the study of time series analysis is due to box and Jenkins [50].…”

06/02086 Accounting for fuel price risk when comparing renewable to gas-fired generation: the role of forward natural gas prices

“…With a few more years of price history to examine, Walls (1995) finds the gas futures market to be generally efficient (futures prices = realized spot prices, suggesting no risk premium). More recently, Buchanan et al (2001) find evidence of positive returns to large natural gas speculators, and Chinn et al (2001) find that natural gas future prices are a biased and poor predictor of future spot prices.…”