Dynamic Forecasting of Gas Consumption in Selected European Countries

Natural gas consumption in Europe has undergone substantial changes in recent years, driven by geopolitical tensions, economic dynamics, and the continent’s ongoing transition towards cleaner energy sources. Furthermore, as noted in the International Energy Agency’s Gas Market Report 2025, natural gas demand is becoming increasingly sensitive to fluctuations in weather patterns, including cold snaps and heatwaves. These factors make the task of forecasting future annual consumption particularly challenging from a statistical perspective and underscore the importance of accurately quantifying the uncertainty surrounding predictions. In this paper, we propose a simple yet flexible approach to issuing dynamic probabilistic forecasts based on an additive time series model. To capture long-term trends, the model incorporates a deterministic component based on the Guseo–Guidolin innovation diffusion framework. In addition, a stochastic innovation term governed by an ARIMAX process is used to describe year-over-year fluctuations, helping to account for the potential presence of variance nonstationarity over time. The proposed methodology is applied to forecast future annual consumption in six key European countries: Austria, France, Germany, Italy, the Netherlands, and the United Kingdom.