Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM

IF 2.9 3区 经济学 Q1 ECONOMICS Quarterly Review of Economics and Finance Pub Date : 2024-09-29 DOI:10.1016/j.qref.2024.101927
Lu Wang , Xing Wang , Chao Liang
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Abstract

Research has focused on whether information spillovers from external influences play a role in clean energy–natural gas volatility forecasts. However, the climate and energy crises caused by the intensification of extreme events, such as recent extreme weather and geopolitical risks, have led the public to turn their attention to research in the field of clean energy. Therefore, this paper uses one-class SVM (support vector machine) techniques to identify extreme volatility in natural gas prices induced by significant occurrences (e.g., wars, financial crises, and COVID-19) and then investigates whether considering extreme volatility in natural gas over different volatile periods (short- and long-term periods) improves volatility forecasting accuracy within the context of a GARCH-MIDAS framework. The in-sample analyses demonstrate that extreme shocks increase natural gas price volatility and that the asymmetric effects are more influential than the short- and long-term extreme volatility effects. The out-of-sample results indicate that the GJR-GARCH-MIDAS-one-class-SVM-SLES model outperforms the other models and achieves the best forecasting performance of the remaining extended models. In addition, robustness tests confirm these findings.
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通过 GARCH-MIDAS 和单类 SVM 的新型组合预测天然气波动率
研究的重点是外部影响的信息溢出效应是否在清洁能源-天然气波动预测中发挥作用。然而,近期极端天气和地缘政治风险等极端事件的加剧所引发的气候和能源危机,使公众将注意力转向了清洁能源领域的研究。因此,本文使用单类 SVM(支持向量机)技术来识别由重大事件(如战争、金融危机和 COVID-19)诱发的天然气价格极端波动,然后研究在 GARCH-MIDAS 框架下,考虑不同波动期(短期和长期)的天然气极端波动是否会提高波动预测的准确性。样本内分析表明,极端冲击会增加天然气价格的波动性,而且非对称效应比短期和长期极端波动效应更具影响力。样本外结果表明,GJR-GARCH-MIDAS-one-class-SVM-SLES 模型优于其他模型,并在其余扩展模型中实现了最佳预测性能。此外,稳健性检验也证实了这些结果。
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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