Forecasting Gas Prices
description
Transcript of Forecasting Gas Prices
![Page 1: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/1.jpg)
Forecasting Gas Prices
Rory Hofstatter Shu-He Lin
Chia-Jung Liu Claudia Muyle
Sooyeon Shin Adam Sutton
![Page 2: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/2.jpg)
INTRODUCTIONGas prices and common commodity pricingGas prices peaked at $4.00 per gallon in 2008Recession and gas prices
![Page 3: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/3.jpg)
DATA COLLECTION RAW DATA
Weekly Regular Gas PricesAugust 1990 – May 2010
1026 ObservationsData obtained from FRED
![Page 4: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/4.jpg)
DATA VERIFICATION RAW DATARandom Walk – Needs to be Pre-Whitened
0
1
2
3
4
5
8/20/90 6/20/94 4/20/98 2/18/02 12/19/05 10/19/09
PRICEPERGAL
![Page 5: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/5.jpg)
DATA VERIFICATION RAW DATADescriptive Statistics – Histogram (Multi-Peaked
and Positively Skewed)
![Page 6: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/6.jpg)
DATA VERIFICATION RAW DATADescriptive Statistics – CorrelogramSlow decay in ACF and a large spike at lag 1 in PACF
![Page 7: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/7.jpg)
DATA VERIFICATION RAW DATAUnit Root Test
![Page 8: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/8.jpg)
DATA VERIFICATION DATA TRANSFORMATIONRaw Data
Logarithmic Transformation Seasonal Difference
First Difference of the Seasonal Difference of Log Price
(DSLNPRICEPGAL)
![Page 9: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/9.jpg)
DATA VERIFICATION DSLNPRICEPGALDescriptive Statistics –Line Graph
![Page 10: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/10.jpg)
DATA VERIFICATION DSLNPRICEPGALDescriptive Statistics – Histogram
![Page 11: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/11.jpg)
DATA VERIFICATION DSLNPRICEPGALDescriptive Statistics – Correlogram
![Page 12: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/12.jpg)
DATA VERIFICATION DSLNPRICEPGALUnit Root Test
![Page 13: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/13.jpg)
MODEL SPECIFICATIONARMA (1,1) –Estimation Output
![Page 14: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/14.jpg)
MODEL SPECIFICATIONARMA (1,1) – Correlogram of ResidualsSome Structure Still Remaining
![Page 15: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/15.jpg)
MODEL SPECIFICATIONARMA (1,2) –Estimation Output
![Page 16: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/16.jpg)
MODEL SPECIFICATIONARMA (1,2) – CorrelogramMost of the structure now removed but some still remaining
![Page 17: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/17.jpg)
MODEL SPECIFICATIONMore Models Tried:
ARMA (1,3)ARMA (1,4)ARMA (2,4)ARMA (2,5)
Best Fitting Model: ARMA (2,5)
![Page 18: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/18.jpg)
MODEL SPECIFICATION ARMA (2,5) –Estimation Output
![Page 19: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/19.jpg)
MODEL SPECIFICATIONARMA (2,5) – Actual, Fitted, Residual Graph
![Page 20: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/20.jpg)
MODEL SPECIFICATIONARMA (2,5) – Correlogram
![Page 21: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/21.jpg)
MODEL VERIFICATIONTo test the accuracy of the forecasting model,compare forecasted with Actual for last 26
weeks
![Page 22: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/22.jpg)
FORECASTINGForecast for 26 weeks into the future difference
![Page 23: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/23.jpg)
FORECASTINGForecast for 26 weeks into the future difference Zoomed
![Page 24: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/24.jpg)
FORECASTINGRecoloring the Forecast:
Workfile Window: Sample: 1026 1026
Workfile Window: GENR: slnpricepgalf = slnpricepgalWorkfile Window: Sample: 1 1052
Workfile Window: GENR: slnpricepgalf = slnpricepgal(-1) + dslnpricepgalfWorkfile Window: Sample: 1 1052
Workfile Window: GENR: lnpricepgalf = lnpricepgal(-52) + slnpricepgalfWorkfile Window: GENR: pricepgalf = exp(lnpricepgalf)Workfile Window: GENR: ppgsef = exp(fdslnsef)
![Page 25: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/25.jpg)
FORECASTINGForecast for 26 weeks into the future – gas price
per gallon
![Page 26: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/26.jpg)
FORECASTINGForecast for 26 weeks into the future – gas price
per gallon (Zoomed)
![Page 27: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/27.jpg)
CONCLUSIONRegular gas price is predicted to stay stable around $2.80 per gallon for the next 16 weeks then drop down in price to approximately $2.20 per gallon.
![Page 28: Forecasting Gas Prices](https://reader036.fdocuments.net/reader036/viewer/2022081503/568166d1550346895ddae29b/html5/thumbnails/28.jpg)
Source: economistmom.com