Investigating Existence of Long-term Memory in Global Gas Markets
Publish place: International Conference on Modern Research`s in Management, Economics and Accounting
Publish Year: 1394
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
MRMEA01_152
تاریخ نمایه سازی: 30 بهمن 1394
Abstract:
Despite expansive studies which have been conducted in the past few decades, especially since the mid-1970s, on the global oil price, there have been few works on the price of natural Gas and its prediction. During the past decades, researchers have always considered natural gas as a secondary by-product of oil which has been extracted and traded beside it. Over the past few years, natural gas has gained particular importance in the energy market; however, few studies have been conducted on this product thus far.Therefore, in this article, the existence of long-term memory in global markets was studied. For this purpose, time series of monthly data from June 1976 to February 2012 was used and an ARFIMA-GARCH model was employed for estimation and prediction. Fractional integration parameter was estimated using Hurst exponent.The results showed that gas price had long-term memory and the shocks in the gas market would result in volatility in gas price; volatility in each period depends on the volatility of the previous periods
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Authors
Fatemeh Irani Kermani
Lecturer, Faculty of Management and Economic, Shahid Bahonar University of Kerman
Shahram Golestani
Assistant professor, Faculty of Management and Economic, Shahid Bahonar University of Kerman
Fatemeh Abbasi
MSc in energy economics
Mahboubeh Ghasemi
MSc in energy economics
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