نمذجة تقلبات أسعار الغاز الطبيعي الفورية باستخدام نموذج GARCH

Abstract EN

GARCH.

The study aimed to build a statistical model of the natural gas spot prices index in NYMEX during the period (10 January 1997 -25 December 2020) using the GARCH models, which take into consideration the fluctuations in prices during different periods.

The study was devised into phases, first an analytical study of the series, The series is a first-order integrator which builds the mixed model of autoregressive and moving averages, based on the methodology of Box- Jenkins ARIMA (1.

1.

1) as the appropriate model based on a set of criteria.

However, the chosen optimal model contains the ARCH effect which requires the formation of an appropriate model for this series.

After applying a set of criteria, the optimal model of the series is the GARCH (1.

0).

key words: ARIMA models, Natural Gas, Spot Prices, GARCH Models