Investigating Existence of Long-term Memory in Global Gas Markets

چکیده مقاله

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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