Natural gas in the EU: An empirical study of price determinants in the age of blooming shale gas and LNG exports
|Author:||Mgr. Zankoo Abbaspour|
|Year:||2020 - winter|
|Leaders:|| prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.
|Work type:|| Masters
|Awards and prizes:|
|Abstract:||This paper forecasts day-ahead prices of Title Transfer Facility Gas Hub, Europe’s most
liquid gas market, by employing a comprehensive list of autoregressive and regionalized
fundamental variables. Using a dataset containing daily data for the period 2018-2019, we
estimate two specifcations using Extreme Gradient Boosting Algorithm. We fnd that yearly
differentials in flling rate of European underground gas storage to carry signifcant
information gain. Our results also confrm short term inertia in the price.