alphanumeric journal
The Journal of Operations Research, Statistics, Econometrics and Management Information Systems
Modeling Natural Gas Prices Volatility
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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.
Keywords: ARCH and GARCH Models, Box-Jenkins, Naturalgas Prices, Time Series Analysis, Unit Root Tests, Volatility
Jel Classification: C01, C20, C50, C51
Doğalgaz Fiyatlarındaki Volatilitenin Modellenmesi
Öz
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.
Anahtar Kelimeler: ARCH GARCH Modelleri, Birim Kök Testleri, Box Jenkins Metodu, Doğalgaz Fiyatları, Volatilite, Zaman Serileri Analizi
Suggested citation
(). Modeling Natural Gas Prices Volatility. Alphanumeric Journal, 2(1), 1-12. http://dx.doi.org/10.17093/aj.49750
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2014.02.01.ECON.01
alphanumeric journal
Pages 1-12
Received: April 1, 2014
Accepted: June 20, 2014
Published: June 30, 2014
2014 Çemrek, F., Polat, H.
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