A1769
Title: Forecasting natural gas prices with spatio-temporal copula-based time series models
Authors: Sven Pappert - TU Dortmund University (Germany) [presenting]
Antonia Arsova - TU Dortmund University (Germany)
Abstract: Commodity price time series possesses interesting features, such as heavy-tailedness, skewness, heteroskedasticity, and non-linear dependence structures. These features pose challenges for modeling and forecasting. We explore how spatio-temporal copula-based time series models can be effectively employed for these purposes. We focus on price series for fossil fuels and carbon emissions. Further, we illustrate how the t-copula may be used in conditional heteroskedasticity modeling. The possible emergence of non-elliptical probabilistic forecasts in this context is examined and visualized. The problem of finding an appropriate point forecast given a non-elliptical probabilistic forecast is discussed. We propose a solution where the forecast is augmented with an artificial neural network (ANN). The ANN predicts the best (in MSE sense) quantile to use as a point forecast. In a forecasting study, we find that the copula-based models are competitive.
