publication . Article . 2012

Modelling Energy Spot Prices: 'Empirical Evidence from Nymex'

Nomikos, N.; Andriosopoulos, K.;
Open Access
  • Published: 01 Jan 2012 Journal: Energy Economics, volume 34, pages 1,153-1,169 (issn: 0140-9883, Copyright policy)
  • Publisher: Elsevier BV
  • Country: United Kingdom
This paper investigates the behaviour of spot prices in eight energy markets that trade futures contracts on NYMEX. We consider two types of models, a mean-reverting model, and a spike model with mean reversion that incorporates two different speeds of mean reversion; one for the fast mean-reverting behaviour of prices after a jump occurs, and another for the slower mean reversion rate of the diffusive part of the model. We also extend these models to incorporate time-varying volatility in their specification, modelled as a GARCH and an EGARCH process. We compare the relative goodness of fit of the different modelling variations both in sample, using Monte Carlo...
free text keywords: General Energy, Economics and Econometrics, Mean reversion, Goodness of fit, Futures contract, Autoregressive conditional heteroskedasticity, Economics, Spot contract, Stochastic modelling, Econometrics, Crack spread, Volatility (finance), HB
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