Wavelet 분해를 이용한 단기 천연가스 가격 예측 = Short Term Forecasting of Natural Gas Price using Wavelet Decomposition

다국어 초록 (Multilingual Abstract)

Although natural gas contracts have been done based on oil prices, many recent research argued that the natural gas and oil prices are decoupled. Therefore, it is necessary to analyze the natural gas price as an independent price. In the light of this, we forecasted the short term natural gas price using wavelet decomposition method. In order to compare a forecasting power, three approaches are applied. The first approach is ARIMA only case. We applied an ARIMA into the original data. The second one is wavelet-ARIMA case. In this case, ARIMA is applied into the approximation. In the third approach, we implement wavelet-GARCH analysis. In this approach, an approximation is treated same as second case, but GARCH is applied to details. As results, the wavelet-applied approaches are better than only ARIMA case for the forecasting power. Consequently, we could confirm the usefulness of wavelet-applied approaches in natural gas price forecasting.

국문 초록 (Abstract)

많은 경우 천연가스 계약은 원유 가격에 연동되어 책정되어 왔지만 현재는 천연가스 시장 가격이 원유 가격과 탈동조화(decoupling)되었다는 연구가 꾸준히 발표되고 있다. 따라서 천연가스 가격에 대한 별도의 연구의 필요성이 높아지고 있다. 이에 본 연구에서는 wavelet 분해 분석을 사용하여 단기 천연가스 가격 예측을 수행하였다. 예측 결과를 비교하기 위하여 ARIMA 모형 만을 적용한 경우, 분해 성분 중 근사 성분에 ARIMA 모형을 적용한 경우, 근사 성분에는 ARIMA, 세부 성분에는 GARCH 모형을 적용한 경우를 설정하였다. 비교 결과 ARIMA만을 이용하여 예측한 결과보다 wavelet 분해를 이용한 경우, 특히 wavelet-GARCH 모형의 예측 오차가 약 3.8% 줄어든 것으로 나타나 천연가스 가격의 단기 예측에 있어서 wavelet 분해 방법론의 유용성을 확인할 수 있었다.

참고문헌 (Reference)

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