IDEAS home Printed from https://ideas.repec.org/a/eco/journ2/2022-03-30.html
   My bibliography  Save this article

State-space Implementation in Forecasting Carbon and Gas Prices in Commodity Markets

Author

Listed:
  • Rialdi Azhar

    (Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Indonesia)

  • Febryan Kusuma Wisnu

    (Department of Agriculture Engineering, Faculty of Agriculture, Universitas Lampung, Indonesia)

  • Fajrin Satria Dwi Kesuma

    (Department of Management, Faculty of Economics and Business, Universitas Lampung, Indonesia)

  • Widya Rizki Eka Putri

    (Department of Accounting, Faculty of Economics and Business, Universitas Lampung, Indonesia)

  • Rian Andri Prasetya

    (Universitas Lampung)

Abstract

Carbon is a waste that becomes a new economic commodity. It has been traded like stock prices in commodity markets. Owing to its new status, research on carbon price movements as a new economic commodity linked to gas has gained a considerable amount of interest. A deeper observation of the future of world gas prices can also be an indicator of the stability of this commodity. We use the state-space model as a statistical basis for modeling the daily movement of carbon values ??and gas prices. As a result, as we have calculated, the state-space model is able to predict and provide in-depth observational information on the relationship between carbon and gas. The economic implications show that carbon is not only good for the environment; its trading in the stock exchange also indicates that it can be a new stable and sustainable economic commodity.

Suggested Citation

  • Rialdi Azhar & Febryan Kusuma Wisnu & Fajrin Satria Dwi Kesuma & Widya Rizki Eka Putri & Rian Andri Prasetya, 2022. "State-space Implementation in Forecasting Carbon and Gas Prices in Commodity Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 280-286, May.
  • Handle: RePEc:eco:journ2:2022-03-30
    as

    Download full text from publisher

    File URL: https://www.econjournals.com/index.php/ijeep/article/download/12894/6764
    Download Restriction: no

    File URL: https://www.econjournals.com/index.php/ijeep/article/view/12894
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ross Garnaut & Stephen Howes & Frank Jotzo & Peter Sheehan, 2008. "Emissions in the Platinum Age: the implications of rapid development for climate-change mitigation," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 24(2), pages 377-401, Summer.
    2. Chevallier, Julien, 2011. "Detecting instability in the volatility of carbon prices," Energy Economics, Elsevier, vol. 33(1), pages 99-110, January.
    3. Batten, Jonathan A. & Maddox, Grace E. & Young, Martin R., 2021. "Does weather, or energy prices, affect carbon prices?," Energy Economics, Elsevier, vol. 96(C).
    4. Ernie Hendrawaty & Rialdi Azhar & Fajrin Satria Dwi Kesumah & Sari Indah Oktanti Sembiring & Mega Metalia, 2021. "Modelling and Forecasting Crude Oil Prices during COVID-19 Pandemic," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 149-154.
    5. Ambya Ambya & Toto Gunarto & Ernie Hendrawaty & Fajrin Satria Dwi Kesumah & Febryan Kusuma Wisnu, 2020. "Future Natural Gas Price Forecasting Model and Its Policy Implication," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 64-70.
    6. Dhani Setyawan & Rakhmin Dyarto & Hadi Setiawan & Rita Helbra Tenrini & Sofia Arie Damayanty, 2020. "Examining the Driving Forces Affecting Energy Intensity during Financial Crisis: Evidence from ASEAN-6 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 71-81.
    7. repec:dau:papers:123456789/5110 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ayi Ahadiat & Fajrin Satria Dwi Kesumah & Rialdi Azhar & Febryan Kusuma Wisnu, 2023. "Strategic Decision-Making on Mining Sector Company Stock Prices and Economic Variable (State Space Model Application)," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 177-184, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Saring Suhendro & Mega Matalia & Sari Indah Oktanti Sembiring, 2021. "Public Sector Policy of Estimating Model for Renewable Energy," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 609-613.
    2. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
    3. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
    4. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    5. Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018. "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, vol. 75(C), pages 249-260.
    6. Chang, Kai & Ge, Fangping & Zhang, Chao & Wang, Weihong, 2018. "The dynamic linkage effect between energy and emissions allowances price for regional emissions trading scheme pilots in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 98(C), pages 415-425.
    7. Ozturk, Serda Selin & Demirer, Riza & Gupta, Rangan, 2022. "Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks," Economics Letters, Elsevier, vol. 217(C).
    8. Ernie Hendrawaty & Rialdi Azhar & Fajrin Satria Dwi Kesumah & Sari Indah Oktanti Sembiring & Mega Metalia, 2021. "Modelling and Forecasting Crude Oil Prices during COVID-19 Pandemic," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 149-154.
    9. Po Yun & Chen Zhang & Yaqi Wu & Yu Yang, 2022. "Forecasting Carbon Dioxide Price Using a Time-Varying High-Order Moment Hybrid Model of NAGARCHSK and Gated Recurrent Unit Network," IJERPH, MDPI, vol. 19(2), pages 1-19, January.
    10. Huw McKay & Ligang Song, 2010. "China as a Global Manufacturing Powerhouse: Strategic Considerations and Structural Adjustment," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 18(1), pages 1-32, January.
    11. Su, Chi Wei & Wei, Shenkai & Wang, Yan & Tao, Ran, 2024. "How does climate policy uncertainty affect the carbon market?," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
    12. Qiu, Hua & Sha, Yezhou & Zhang, Yixing, 2024. "Energy affordability and subjective well-being in China: Causal inference, heterogeneity, and the mediating role of disaster risk," Energy Economics, Elsevier, vol. 129(C).
    13. Rannou, Yves & Barneto, Pascal, 2016. "Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets," Energy Economics, Elsevier, vol. 53(C), pages 159-174.
    14. Mazza, Paolo & Petitjean, Mikael, 2015. "How integrated is the European carbon derivatives market?," Finance Research Letters, Elsevier, vol. 15(C), pages 18-30.
    15. Paresh Kumar Narayan & Seema Narayan & Siroos Khademalomoom & Dinh Hoang Bach Phan, 2018. "Do Terrorist Attacks Impact Exchange Rate Behavior? New International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 547-561, January.
    16. Li, Gang & Li, Yong, 2015. "Forecasting copper futures volatility under model uncertainty," Resources Policy, Elsevier, vol. 46(P2), pages 167-176.
    17. Millischer, Laurent & Evdokimova, Tatiana & Fernandez, Oscar, 2023. "The carrot and the stock: In search of stock-market incentives for decarbonization," Energy Economics, Elsevier, vol. 120(C).
    18. Dobes Leo & Jotzo Frank & Stern David I., 2014. "The Economics of Global Climate Change: A Historical Literature Review," Review of Economics, De Gruyter, vol. 65(3), pages 281-320, December.
    19. Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2013. "Evaluation of different hedging strategies for commodity price risks of industrial cogeneration plants," Energy Policy, Elsevier, vol. 59(C), pages 143-160.
    20. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2022. "Carbon credit futures as an emerging asset: Hedging, diversification and downside risks," Energy Economics, Elsevier, vol. 113(C).

    More about this item

    Keywords

    Commodity Markets; Forecasting; State Space Model; Carbon; Natural Gas;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ2:2022-03-30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ilhan Ozturk (email available below). General contact details of provider: http://www.econjournals.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.