forecasting gas prices
DESCRIPTION
Forecasting Gas Prices. Rory Hofstatter Shu -He Lin Chia -Jung Liu Claudia Muyle Sooyeon Shin Adam Sutton. INTRODUCTION. Gas prices and common commodity pricing Gas prices peaked at $4.00 per gallon in 2008 Recession and gas prices. DATA COLLECTION RAW DATA. - PowerPoint PPT PresentationTRANSCRIPT
Forecasting Gas Prices
Rory Hofstatter Shu-He Lin
Chia-Jung Liu Claudia Muyle
Sooyeon Shin Adam Sutton
INTRODUCTIONGas prices and common commodity pricingGas prices peaked at $4.00 per gallon in 2008Recession and gas prices
DATA COLLECTION RAW DATA
Weekly Regular Gas PricesAugust 1990 – May 2010
1026 ObservationsData obtained from FRED
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
DATA VERIFICATION RAW DATADescriptive Statistics – Histogram (Multi-Peaked
and Positively Skewed)
DATA VERIFICATION RAW DATADescriptive Statistics – CorrelogramSlow decay in ACF and a large spike at lag 1 in PACF
DATA VERIFICATION RAW DATAUnit Root Test
DATA VERIFICATION DATA TRANSFORMATIONRaw Data
Logarithmic Transformation Seasonal Difference
First Difference of the Seasonal Difference of Log Price
(DSLNPRICEPGAL)
DATA VERIFICATION DSLNPRICEPGALDescriptive Statistics –Line Graph
DATA VERIFICATION DSLNPRICEPGALDescriptive Statistics – Histogram
DATA VERIFICATION DSLNPRICEPGALDescriptive Statistics – Correlogram
DATA VERIFICATION DSLNPRICEPGALUnit Root Test
MODEL SPECIFICATIONARMA (1,1) –Estimation Output
MODEL SPECIFICATIONARMA (1,1) – Correlogram of ResidualsSome Structure Still Remaining
MODEL SPECIFICATIONARMA (1,2) –Estimation Output
MODEL SPECIFICATIONARMA (1,2) – CorrelogramMost of the structure now removed but some still remaining
MODEL SPECIFICATIONMore Models Tried:
ARMA (1,3)ARMA (1,4)ARMA (2,4)ARMA (2,5)
Best Fitting Model: ARMA (2,5)
MODEL SPECIFICATION ARMA (2,5) –Estimation Output
MODEL SPECIFICATIONARMA (2,5) – Actual, Fitted, Residual Graph
MODEL SPECIFICATIONARMA (2,5) – Correlogram
MODEL VERIFICATIONTo test the accuracy of the forecasting model,compare forecasted with Actual for last 26
weeks
FORECASTINGForecast for 26 weeks into the future difference
FORECASTINGForecast for 26 weeks into the future difference Zoomed
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)
FORECASTINGForecast for 26 weeks into the future – gas price
per gallon
FORECASTINGForecast for 26 weeks into the future – gas price
per gallon (Zoomed)
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.
Source: economistmom.com